Portfolio selection via constrained stochastic gradients

IEEE Workshop on Statistical Signal Processing Proceedings

Volumn , Issue , 2011, Pages 37-40

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

^a University of Illinois at Urbana Champaign   (United States)

Author keywords

exponentiated gradient; portfolios; stochastic gradient; universal

Indexed keywords

EXPONENTIATED GRADIENT; HISTORICAL DATA; ONLINE PORTFOLIOS; PORTFOLIO SELECTION; PORTFOLIOS; STOCHASTIC GRADIENT; UNIVERSAL; UNIVERSAL PORTFOLIOS;

APPROXIMATION ALGORITHMS; COMMUNICATION CHANNELS (INFORMATION THEORY); SIGNAL PROCESSING;

STOCHASTIC SYSTEMS;

EID: 80052227140     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/SSP.2011.5967709     Document Type: Conference Paper

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