Growth-Optimal Portfolio Selection under CVaR Constraints

Guy Uziel
Guy Uziel

AISTATS, pp. 48-57, 2018.

Cited by: 3|Bibtex|Views7
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Other Links: dblp.uni-trier.de|academic.microsoft.com|arxiv.org

Abstract:

Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning of portfolios of stocks whose prices are governed by arbitrary (unknown) stationary and ergodic proce...More

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