Title :
Portfolio selection via constrained stochastic gradients
Author :
Bean, Andrew J. ; Singer, Andrew C.
Author_Institution :
Dept. of Electr. & Comput. Eng., Univ. of Illinois at Urbana-Champaign, Urbana, IL, USA
Abstract :
In this paper, we consider the online portfolio selection problem. We develop several algorithms for portfolio selection based on sequential regularized optimizations and constrained stochastic gradient based approximations to this. We relate these methods to related results in stochastic gradients and universal portfolios, and compare results of simulations using historical data. We also demonstrate that these results compare favorably with respect to so-called universal portfolios.
Keywords :
approximation theory; gradient methods; investment; optimisation; stochastic processes; constrained stochastic gradient based approximations; online portfolio selection problem; sequential regularized optimizations; universal portfolios; Approximation algorithms; Approximation methods; Mathematical model; Optimization; Portfolios; Signal processing algorithms; Stochastic processes; exponentiated gradient; portfolios; stochastic gradient; universal;
Conference_Titel :
Statistical Signal Processing Workshop (SSP), 2011 IEEE
Conference_Location :
Nice
Print_ISBN :
978-1-4577-0569-4
DOI :
10.1109/SSP.2011.5967709