Adaptive Online Portfolio Selection
The article introduces a new online portfolio selection strategy that considers transaction costs and uses an adaptive scheme for sequential parameter decision, yielding higher cumulative returns and competitive Sharpe ratios than existing strategies.
Featured in No. 80 on 1 Jan 2025 · on release day
- Released
- 1 Jan 2025
- First featured
- No. 80 · 1 Jan 2025
- Published in
- Not yet, as far as Semantic Scholar knows
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- 10
- Identifier
- RePEc:eee:ejores:v:321:y:2025:i:1:p:214-230
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).