Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method

被引:0
|
作者
Xingyu Yang
Jin’an He
Hong Lin
Yong Zhang
机构
[1] Guangdong University of Technology,School of Management
来源
Computational Economics | 2020年 / 55卷
关键词
Online portfolio selection; Universal portfolio; Online expert advice; Weak aggregating algorithm;
D O I
暂无
中图分类号
学科分类号
摘要
Online portfolio selection is one of the fundamental problems in the field of computational finance. Although existing online portfolio strategies have been shown to achieve good performance, we always have to set the values for different parameters of online portfolio strategies, where the optimal values can only be known in hindsight. To tackle the limits of existing strategies, we present a new online portfolio strategy based on the online learning character of Weak Aggregating Algorithm (WAA). Firstly, we consider a number of Exponential Gradient (EG(η)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(\eta )$$\end{document}) strategies of different values of parameter η\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\eta $$\end{document} as experts, and then determine the next portfolio by using the WAA to aggregate the experts’ advice. Furthermore, we theoretically prove that our strategy asymptotically achieves the same increasing rate as the best EG(η)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(\eta )$$\end{document} expert. We prove our strategy, as EG(η)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(\eta )$$\end{document} strategies, is universal. We present numerical analysis by using actual stock data from the American and Chinese markets, and the results show that it has good performance.
引用
收藏
页码:231 / 251
页数:20
相关论文
共 50 条
  • [1] Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts' Advice Method
    Yang, Xingyu
    He, Jin'an
    Lin, Hong
    Zhang, Yong
    COMPUTATIONAL ECONOMICS, 2020, 55 (01) : 231 - 251
  • [2] Aggregating exponential gradient expert advice for online portfolio selection
    Yang, Xingyu
    He, Jin'an
    Zhang, Yong
    JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2022, 73 (03) : 587 - 597
  • [3] Aggregating exponential gradient expert advice for online portfolio selection under transaction costs
    Zhang, Yong
    Li, Jiahao
    Yang, Xingyu
    Lin, Hong
    JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2023, 74 (08) : 1940 - 1953
  • [4] Universal portfolio selection strategy by aggregating online expert advice
    Jin’an He
    Xingyu Yang
    Optimization and Engineering, 2022, 23 : 85 - 109
  • [5] Universal portfolio selection strategy by aggregating online expert advice
    He, Jin'an
    Yang, Xingyu
    OPTIMIZATION AND ENGINEERING, 2022, 23 (01) : 85 - 109
  • [6] Online Portfolio Selection Strategy Based on Combining Experts’ Advice
    Yong Zhang
    Xingyu Yang
    Computational Economics, 2017, 50 : 141 - 159
  • [7] Online Portfolio Selection Strategy Based on Combining Experts' Advice
    Zhang, Yong
    Yang, Xingyu
    COMPUTATIONAL ECONOMICS, 2017, 50 (01) : 141 - 159
  • [8] Aggregating expert advice strategy for online portfolio selection with side information
    Yang, Xingyu
    He, Jin'an
    Xian, Jiayi
    Lin, Hong
    Zhang, Yong
    SOFT COMPUTING, 2020, 24 (03) : 2067 - 2081
  • [9] Aggregating expert advice strategy for online portfolio selection with side information
    Xingyu Yang
    Jin’an He
    Jiayi Xian
    Hong Lin
    Yong Zhang
    Soft Computing, 2020, 24 : 2067 - 2081
  • [10] Aggregating closing position experts for online portfolio selection
    Yang, Xingyu
    Zheng, Xiaoteng
    Li, Jiahao
    Huang, Qingmei
    APPLIED ECONOMICS LETTERS, 2024,