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...
| Pubblicato in: | Machine learning. 59, 1-2 (2005). |
|---|---|
| Autore principale: | |
| Natura: | Articolo |
| Lingua: | English |
| Soggetti: |