On-line portfolio selection using multiplicative updates
On-line portfolio selection using multiplicative updates
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DOI：
10.1111/1467-9965.00058
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发表时间：
1998-10-01
影响因子：
1.6
通讯作者：
Warmuth, MK
中科院分区：
文献类型：
--
作者：
Helmbold, DP;Schapire, RE;Warmuth, MK
我们提出了一种在线投资算法，该算法与实际市场成果从事后确定的最佳恒定重新配置的投资组合获得了几乎相同的财富。该算法采用使用Kivinen和Warmuth引入的框架得出的乘法更新规则。我们的算法非常易于实现，并且在每个交易期内仅需要恒定的存储和计算时间。我们测试了22年期间积累的纽约证券交易所的真实股票数据的算法的性能。在这些数据上，我们的算法显然优于最佳单股票以及Cover的通用投资组合选择算法。我们还为投资者访问其他“侧面信息”的情况提出了结果。
We present an on-line investment algorithm that achieves almost the same wealth as the best constant-rebalanced portfolio determined in hindsight from the actual market outcomes. The algorithm employs a multiplicative update rule derived using a framework introduced by Kivinen and Warmuth. Our algorithm is very simple to implement and requires only constant storage and computing time per stock in each trading period. We tested the performance of our algorithm on real stock data from the New York Stock Exchange accumulated during a 22-year period. On these data, our algorithm clearly outperforms the best single stock as well as Cover's universal portfolio selection algorithm. We also present results for the situation in which the investor has access to additional "side information."