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Proposed Algorithms with Risk Management

  • Robert Dochow
Chapter

Abstract

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

Keywords

Risk Management Online Algorithm Investment Horizon Initial Wealth Portfolio Selection Problem 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Fachmedien Wiesbaden 2016

Authors and Affiliations

  1. 1.Operations Research and Business InformaSaarland UniversitySaarbrückenGermany

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