eBook - PDF

Online Portfolio Selection

Name: Online Portfolio Selection
ISBN: 9781482249644

Principles and Algorithms

Bin Li,

Steven Chu Hong Hoi,

212 pages
English
PDF
Available on iOS & Android

eBook - PDF

Online Portfolio Selection

Principles and Algorithms

Bin Li,

Steven Chu Hong Hoi,

About this book

With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms supplies a comprehensive survey of existing OLPS principles and presents a collection of innovative strategies that leverage machine learning techniques for financial investment.The book presents four new algorithms based on machine learning techniques that were designed by the authors, as well as a new back-test system they developed for evaluating trading strategy effectiveness. The book uses simulations with real market data to illustrate the trading strategies in action and to provide readers with the confidence to deploy the strategies themselves. The book is presented in five sections that:

Introduce OLPS and formulate OLPS as a sequential decision task
Present key OLPS principles, including benchmarks, follow the winner, follow the loser, pattern matching, and meta-learning
Detail four innovative OLPS algorithms based on cutting-edge machine learning techniques
Provide a toolbox for evaluating the OLPS algorithms and present empirical studies comparing the proposed algorithms withthe state of the art
Investigate possible future directions

Complete with a back-test system that uses historical data to evaluate the performance of trading strategies, as well as MATLAB ® code for the back-test systems, this book is an ideal resource for graduate students in finance, computer science, and statistics. It is also suitable for researchers and engineers interested in computational investment.Readers are encouraged to visit the authors' website for updates: http://olps.stevenhoi.org.

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Yes, you can access Online Portfolio Selection by Bin Li, Steven Chu Hong Hoi in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.