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The Resource Online portfolio selection : principles and algorithms, Bin Li and Steven Chu Hong Hoi

Online portfolio selection : principles and algorithms, Bin Li and Steven Chu Hong Hoi

Label
Online portfolio selection : principles and algorithms
Title
Online portfolio selection
Title remainder
principles and algorithms
Statement of responsibility
Bin Li and Steven Chu Hong Hoi
Creator
Contributor
Author
Subject
Language
eng
Summary
With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms supplies a comprehensive survey of existing OLPS principles and presents a collection of innovative strategies that leverage machine learning techniques for financial investment. The book presents four new algorithms based on machine learning techniques that were designed by the authors, as well as a new back-test system they developed for evaluating trading strategy effectiveness. The book uses simulations with real market data to illustrate the trading strategies in action and to provide readers with the confidence to deploy the strategies themselves. The book is presented in five sections that: Introduce OLPS and formulate OLPS as a sequential decision task / Present key OLPS principles, including benchmarks, follow the winner, follow the loser, pattern matching, and meta-learning / Detail four innovative OLPS algorithms based on cutting-edge machine learning techniques / Provide a toolbox for evaluating the OLPS algorithms and present empirical studies comparing the proposed algorithms with the state of the art / Investigate possible future directions. Complete with a back-test system that uses historical data to evaluate the performance of trading strategies, as well as MATLAB® code for the back-test systems, this book is an ideal resource for graduate students in finance, computer science, and statistics. It is also suitable for researchers and engineers interested in computational investment. --
Assigning source
Provided by Publisher
Cataloging source
CDX
http://library.link/vocab/creatorName
Li, Bin
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Hoi, Steven C. H
http://library.link/vocab/subjectName
  • Portfolio management
  • Investments
Label
Online portfolio selection : principles and algorithms, Bin Li and Steven Chu Hong Hoi
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17789692
Dimensions
24 cm.
Extent
232 pages
Isbn
9781482249637
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations (black and white)
System control number
(OCoLC)1062282835
Label
Online portfolio selection : principles and algorithms, Bin Li and Steven Chu Hong Hoi
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17789692
Dimensions
24 cm.
Extent
232 pages
Isbn
9781482249637
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations (black and white)
System control number
(OCoLC)1062282835

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