Internal Regret in On-Line Portfolio Selection.
This paper extends the game-theoretic notion of internal regret to the case of on-line potfolio selection problems. New sequential investment strategies are designed to minimize the cumulative internal regret for all possible market behaviors. Some of the introduced strategies, apart from achieving...
| Published in: | Machine learning. 59, 1-2 (2005). |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Subjects: |