Matches in SemOpenAlex for { <https://semopenalex.org/work/W4241107911> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W4241107911 endingPage "107" @default.
- W4241107911 startingPage "107" @default.
- W4241107911 abstract "In the non-stationary financial market, considering that earlier observations may have little or no relevance to the current investment decision making, we design two kinds of adaptive online portfolio strategies only based on recent historical data. Firstly, we design an adaptive online portfolio strategy by linearly combining the last portfolio and the best constant rebalanced portfolio corresponding to the recent historical data, which we call moving window. We determine the length of the moving window by adaptive learning. More precisely, we consider the strategies that always adopt the best constant rebalanced portfolio corresponding to the moving window of different fixed lengths as different experts, and at the beginning of the current period, we choose the length of moving window the same as the expert achieving maximum current cumulative return. Furthermore, we determine the length of moving window by only using the recent historical data to adaptively learn, and design another adaptive online portfolio strategy. We present numerical analysis by using real stock data from the US and Chinese markets, and the results illustrate that our strategies perform well, compared with some benchmark strategies and existing online portfolio strategies." @default.
- W4241107911 created "2022-05-12" @default.
- W4241107911 creator A5003296237 @default.
- W4241107911 creator A5041936946 @default.
- W4241107911 creator A5050909682 @default.
- W4241107911 creator A5064222660 @default.
- W4241107911 creator A5071115491 @default.
- W4241107911 date "2020-01-01" @default.
- W4241107911 modified "2023-09-29" @default.
- W4241107911 title "Adaptive online successive constant rebalanced portfolio based on moving window" @default.
- W4241107911 doi "https://doi.org/10.1504/ijise.2020.104316" @default.
- W4241107911 hasPublicationYear "2020" @default.
- W4241107911 type Work @default.
- W4241107911 citedByCount "0" @default.
- W4241107911 crossrefType "journal-article" @default.
- W4241107911 hasAuthorship W4241107911A5003296237 @default.
- W4241107911 hasAuthorship W4241107911A5041936946 @default.
- W4241107911 hasAuthorship W4241107911A5050909682 @default.
- W4241107911 hasAuthorship W4241107911A5064222660 @default.
- W4241107911 hasAuthorship W4241107911A5071115491 @default.
- W4241107911 hasBestOaLocation W42411079111 @default.
- W4241107911 hasConcept C10138342 @default.
- W4241107911 hasConcept C103144560 @default.
- W4241107911 hasConcept C106159729 @default.
- W4241107911 hasConcept C111919701 @default.
- W4241107911 hasConcept C124101348 @default.
- W4241107911 hasConcept C126255220 @default.
- W4241107911 hasConcept C13280743 @default.
- W4241107911 hasConcept C149782125 @default.
- W4241107911 hasConcept C162324750 @default.
- W4241107911 hasConcept C175706884 @default.
- W4241107911 hasConcept C183582576 @default.
- W4241107911 hasConcept C185798385 @default.
- W4241107911 hasConcept C199360897 @default.
- W4241107911 hasConcept C202655437 @default.
- W4241107911 hasConcept C205649164 @default.
- W4241107911 hasConcept C2777027219 @default.
- W4241107911 hasConcept C2778751112 @default.
- W4241107911 hasConcept C2780821815 @default.
- W4241107911 hasConcept C31972630 @default.
- W4241107911 hasConcept C33923547 @default.
- W4241107911 hasConcept C41008148 @default.
- W4241107911 hasConcept C60777511 @default.
- W4241107911 hasConcept C89198739 @default.
- W4241107911 hasConceptScore W4241107911C10138342 @default.
- W4241107911 hasConceptScore W4241107911C103144560 @default.
- W4241107911 hasConceptScore W4241107911C106159729 @default.
- W4241107911 hasConceptScore W4241107911C111919701 @default.
- W4241107911 hasConceptScore W4241107911C124101348 @default.
- W4241107911 hasConceptScore W4241107911C126255220 @default.
- W4241107911 hasConceptScore W4241107911C13280743 @default.
- W4241107911 hasConceptScore W4241107911C149782125 @default.
- W4241107911 hasConceptScore W4241107911C162324750 @default.
- W4241107911 hasConceptScore W4241107911C175706884 @default.
- W4241107911 hasConceptScore W4241107911C183582576 @default.
- W4241107911 hasConceptScore W4241107911C185798385 @default.
- W4241107911 hasConceptScore W4241107911C199360897 @default.
- W4241107911 hasConceptScore W4241107911C202655437 @default.
- W4241107911 hasConceptScore W4241107911C205649164 @default.
- W4241107911 hasConceptScore W4241107911C2777027219 @default.
- W4241107911 hasConceptScore W4241107911C2778751112 @default.
- W4241107911 hasConceptScore W4241107911C2780821815 @default.
- W4241107911 hasConceptScore W4241107911C31972630 @default.
- W4241107911 hasConceptScore W4241107911C33923547 @default.
- W4241107911 hasConceptScore W4241107911C41008148 @default.
- W4241107911 hasConceptScore W4241107911C60777511 @default.
- W4241107911 hasConceptScore W4241107911C89198739 @default.
- W4241107911 hasIssue "1" @default.
- W4241107911 hasLocation W42411079111 @default.
- W4241107911 hasOpenAccess W4241107911 @default.
- W4241107911 hasPrimaryLocation W42411079111 @default.
- W4241107911 hasRelatedWork W1581005610 @default.
- W4241107911 hasRelatedWork W1954718630 @default.
- W4241107911 hasRelatedWork W1996053646 @default.
- W4241107911 hasRelatedWork W2124216144 @default.
- W4241107911 hasRelatedWork W2350212927 @default.
- W4241107911 hasRelatedWork W2587327574 @default.
- W4241107911 hasRelatedWork W2996696294 @default.
- W4241107911 hasRelatedWork W3145574834 @default.
- W4241107911 hasRelatedWork W4312198749 @default.
- W4241107911 hasRelatedWork W1759564909 @default.
- W4241107911 hasVolume "34" @default.
- W4241107911 isParatext "false" @default.
- W4241107911 isRetracted "false" @default.
- W4241107911 workType "article" @default.