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Competitive portfolio selection using stochastic predictions

Batu, Tugkan and Taptagaporn, Pongphat (2016) Competitive portfolio selection using stochastic predictions. In: Lecture Notes in Artificial Intelligence. Lecture Notes in Computer Science,9925. Springer, Cham, Switzerland, pp. 288-302. ISBN 9783319463797

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Identification Number: 10.1007/978-3-319-46379-7_20

Abstract

We study a portfolio selection problem where a player attempts to maximise a utility function that represents the growth rate of wealth. We show that, given some stochastic predictions of the asset prices in the next time step, a sublinear expected regret is attainable against an optimal greedy algorithm, subject to tradeoff against the \accuracy" of such predictions that learn (or improve) over time. We also study the effects of introducing transaction costs into the model.

Item Type: Book Section
Official URL: http://www.springer.com/gb/
Additional Information: © 2016 Springer
Subjects: Q Science > QA Mathematics
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Sets: Departments > Mathematics
Date Deposited: 03 Aug 2016 12:56
Last Modified: 01 Nov 2017 11:22
URI: http://eprints.lse.ac.uk/id/eprint/67338

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