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Portfolios

Page history last edited by olivier 17 years, 8 months ago

A. Agarwal and E. Hazan. Efficient Algorithms for Online Game Playing and Universal Portfolio Management.

pdf

 

E. Hazan, A. Kalai, S. Kale and A. Agarwal. Logarithmic Regret Algorithms for Online Convex Optimization. pdf

 

A. Agarwal, E. Hazan, S. Kale and R. Schapire. Algorithms for Portfolio Management based on the Newton Method.

pdf

 

A. Blum and A. Kalai. Universal Portfolios With and Without Transaction Costs. Machine Learning 35:3, pp 193-205, 1999 ps slides

 

A. Kalai and S. Vempala. Efficient Algorithms for Universal Portfolios. Journal of Machine Learning Research 3(3):423--440, 2002. pdf

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