Efficient algorithms for universal portfolios

Journal of Machine Learning Research

Volumn 3, Issue 3, 2003, Pages 423-440

  Kalai, Adam ^a   Vempala, Santosh ^a  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; INVESTMENTS; PROBABILITY;

UNIVERSAL PORTFOLIOS;

LEARNING SYSTEMS;

EID: 0041965986     PISSN: 15324435     EISSN: None     Source Type: Journal    
DOI: 10.1162/153244303321897672     Document Type: Conference Paper

References (16)

1. D. Applegate and R. Kannan. Sampling and integration of near log-concave functions. Proceedings of the Twenty-Third Annual ACM Symposium on Theory of Computing, 156-163, 1991.
2. A. Blum and A. Kalai. Universal Portfolios With and Without Transaction Costs. Machine Learning, 35(3):193-205, 1999.
3. T.M. Cover. Universal portfolios. Math. Finance, 1(1):1-29, 1991.
4. T.M. Cover and E. Ordentlich. Universal portfolios with side information. IEEE Transactions on Information Theory, 42(2):348-363, 1996.
5. E. Ordentlich, and T.M. Cover. Online portfolio selection. Proceedings of the 9th Annual Conference on Computational Learning Theory, 310-313, 1996.
6. T.M. Cover. Universal data compression and portfolio selection. Proceedings of the 37th IEEE Symposium on Foundations of Computer Science, 534-538, 1996.
7. A. Frieze and R. Kannan. Log-Sobolev inequalities and sampling from log-concave distributions. Annals of Applied Probability, 9:14-26, 1999.
8. D.P. Foster and R.V. Vohra. Regret in the On-line Decision Problem. Games and Economic Behavior, 29(1/2):7-35, 1999.
9. D. Helmbold, R. Schapire, Y. Singer, and M. Warmuth. On-line portfolio selection using multiplicative updates. Mathematical Finance, 8(4):325-347, 1998.
10. D. Helmbold, R. Schapire, Y. Singer, M. Warmuth. A comparison of new and old algorithms for a mixture estimation Problem. Machine Learning 27(1):97-119, 1997.
11. A. Kalai, S. Chen, A. Blum, and R. Rosenfeld. On-line Algorithms for Combining Language Models. Proceedings of the International Conference on Accoustics, Speech, and Signal Processing, 2:745-748, 1999.
12. 5) volume algorithm for convex bodies. Random Structures and Algorithms, 11(1):1-50, 1997.
13. A. Kalai and S. Vempala. Efficient algorithms for universal portfolios. Proceedings of the 41st Annual Symposium on the Foundations of Computer Science, 486-491, 2000.
14. L. Lovasz and M. Simonovits. On the randomized complexity of volume and diameter. Proceedings of the IEEE Symp. on Foundation of Computer Science, 482-491, 1992.
15. N. Metropolis, Rosenberg, Rosenbluth, Teller and Teller. Equation of state calculation by fast computing machines. In Journal of Chemical Physics, 21:1087-1092, 1953.
16. V. Vovk and C.J.H.C. Watkins. Universal Portfolio Selection. Proceedings of the 11th Annual Conference on Computational Learning Theory, 12-23, 1998.