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Online Learning of Commission Avoidant Portfolio Ensembles

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 نشر من قبل Guy Uziel
 تاريخ النشر 2016
  مجال البحث الهندسة المعلوماتية
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We present a novel online ensemble learning strategy for portfolio selection. The new strategy controls and exploits any set of commission-oblivious portfolio selection algorithms. The strategy handles transaction costs using a novel commission avoidance mechanism. We prove a logarithmic regret bound for our strategy with respect to optimal mixtures of the base algorithms. Numerical examples validate the viability of our method and show significant improvement over the state-of-the-art.



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