Factor graphs for universal portfolios

Conference Record - Asilomar Conference on Signals, Systems and Computers

Volumn , Issue , 2009, Pages 1375-1379

  Bean, Andrew J ^a   Singer, Andrew C ^a  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

Factor graph; Investment; Piecewise models; Portfolio; Sum product; Transaction costs; Universal

Indexed keywords

FACTOR GRAPH; FACTOR GRAPHS; PIECE-WISE; PIECEWISE MODELS; SUM PRODUCT; TRANSACTION COST;

COMMUNICATION SYSTEMS; COSTS; INVESTMENTS; SIGNAL PROCESSING;

LEARNING ALGORITHMS;

EID: 77953837480     PISSN: 10586393     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ACSSC.2009.5469881     Document Type: Conference Paper

References (17)

1. A. C. Singer and M. Feder, "Universal linear prediction by model order weighting," IEEE Transactions on Signal Processing, vol. 47, no. 10, pp. 2685-2699, October 1999.
2. S. S. Kozat and A. C. Singer, "Universal constant rebalanced portfolios with switching," in IEEE International Conference on Acoustics, Speech and Signal Processing, 2007, pp. 1129-1132.
3. S. S. Kozat, A. C. Singer, and G. C. Zeitler, "Universal piecewise linear prediction via context trees," IEEE Transactions on Signal Processing, vol. 55, no. 7, pp. 3730-3745, July 2007.
4. S. S. Kozat, A. C. Singer, and A. J. Bean, "Universal portfolios via context trees," in IEEE International Conference on Acoustics, Speech and Signal Processing, 2008, pp. 2093-2096.
5. S. S. Kozat and A. C. Singer, "Universal switching portfolios under transaction costs," in IEEE International Conference on Acoustics, Speech and Signal Processing, 2008, pp. 5404-5407.
6. Y. Singer, "Switching portfolios," in Proceedings of the 14th Conference on Uncertainty in Artificial Intelligence, 1998, pp. 1498-1519.
7. A. Blum and A. Kalai, "Universal portfolios with and without transaction costs," Machine Learning, vol. 35, no. 3, pp. 193-205, June 1999.
8. A. Agarwal, E. Hazan, S. Kale, and R. E. Schapire, "Algorithms for portfolio management based on the newton method," in Proceedings of the 23rd International Conference on Machine Learning, 2006, pp. 9-16.
9. H. Markowitz, "Portfolio selection," The Journal of Finance, vol. 7, no. 1, pp. 77-91, March 1952.
10. T. M. Cover, "Universal portfolios," Mathematical Finance, vol. 1, no. 1, pp. 1-29, January 1991.
11. D. P. Helmbold, R. E. Schapire, Y. Singer, and M. K. Warmuth, "Online portfolio selection using multiplicative updates," Mathematical Finance, vol. 8, no. 4, pp. 325-347, October 1998. (Pubitemid 128342548)
12. M. Feder, N. Merhav, and M. Gutman, "Universal prediction of individual sequences," IEEE Transactions on Information Theory, vol. 38, no. 4, pp. 1258-1270, July 1992.
13. N. Littlestone and M. K. Warmuth, "The weighted majority algorithm," Information and Computation, vol. 108, no. 2, pp. 212-261, February 1994.
14. T. M. Cover and E. Ordentlich, "Universal portfolios with side information," IEEE Transactions on Information Theory, vol. 42, no. 2, pp. 348-363, March 1996.
15. R. Bell and T. M. Cover, "Game theoretic optimal portfolios," Management Science, vol. 34, no. 6, pp. 724-733, June 1988.
16. D. P. Foster and R. Vohra, "Regret in the on-line decision problem," Games and Economic Behavior, vol. 29, no. 1-2, pp. 7-35, October 1999.
17. F. R. Kschischang, B. J. Frey, and H.-A. Loeliger, "Factor graphs and the sum-product algorithm," IEEE Transactions on Information Theory, vol. 47, no. 2, pp. 498-519, February 2001.