Proposed Algorithms with Risk Management
In this chapter two new online algorithms for the portfolio selection problem are proposed. They contribute to close the gap between the finance community and the machine learning community. The algorithms incorporate risk management, but also have a provable lower bound on the terminal wealth in a worst-case scenario. The results4 of this chapter are already presented, submitted and published at international conferences5 and conference proceedings6
KeywordsRisk Management Online Algorithm Investment Horizon Initial Wealth Portfolio Selection Problem
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