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 a small internal regret, achieve an accumulated wealth almost as large as that of the best constantly rebalanced portfolio. It is argued that the low-internal-regret property is related to stability and experiments on real stock exchange data demonstrate that the new strategies achieve better returns compared to some known algorithms.
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- Internal Regret in On-Line Portfolio Selection
Volume 59, Issue 1-2 , pp 125-159
- Cover Date
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- Kluwer Academic Publishers
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- individual sequences
- internal regret
- on-line investment
- universal Portfolio
- EG strategy
- Industry Sectors