Internal Regret in On-Line Portfolio Selection
Internal Regret in On-Line Portfolio Selection
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DOI：
10.1007/s10994-005-0465-4
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发表时间：
2005-05
期刊：
影响因子：
7.5
通讯作者：
Gilles Stoltz;G. Lugosi
中科院分区：
文献类型：
--
作者：
Gilles Stoltz;G. Lugosi
本文将博弈论中的内部后悔概念推广到在线的potassium选择问题。新的序贯投资策略旨在最小化所有可能的市场行为的累积内部遗憾。一些引入的策略，除了实现一个小的内部遗憾，实现积累的财富几乎一样大的最好的不断重新平衡的投资组合。它认为，低内部遗憾属性与稳定性和实验真实的股票交易数据表明，新的策略实现更好的回报相比，一些已知的算法。
This paper extends the game-theoretic notion of internal regret to the case of on-line potfolio selection problems. New sequential investment strategies are designed to minimize the cumulative internal regret for all possible market behaviors. Some of the introduced strategies, apart from achieving a small internal regret, achieve an accumulated wealth almost as large as that of the best constantly rebalanced portfolio. It is argued that the low-internal-regret property is related to stability and experiments on real stock exchange data demonstrate that the new strategies achieve better returns compared to some known algorithms.