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Article overview
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Online Learning of Commission Avoidant Portfolio Ensembles | | Guy Uziel
; Ran El-Yaniv
; | | Date: |
3 May 2016 | | Abstract: | We present a novel online ensemble learning strategy for portfolio selection.
The new strategy controls and exploits any set of commission-oblivious
portfolio selection algorithms. The strategy handles transaction costs using a
novel commission avoidance mechanism. We prove a logarithmic regret bound for
our strategy with respect to optimal mixtures of the base algorithms. Numerical
examples validate the viability of our method and show significant improvement
over the state-of-the-art. | | Source: | arXiv, 1605.0788 | | Services: | Forum | Review | PDF | Favorites | |
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