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...
| Publicat a: | Machine learning. 59, 1-2 (2005). |
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| Autor principal: | |
| Format: | Article |
| Idioma: | English |
| Matèries: |