Online portfolio selection

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Online portfolio selection (OPS) [1] [2] is an algorithm-based [3] trading strategy that seeks to optimise investment returns. It was first implemented in 2012 by Bin Li and Bin Hoi at Wuhan University. [4] [5] [6] OPS is contrasted with more traditional approaches to portfolio optimization: [7] [8] while mean-variance optimization seeks to balance risk and return, OPS specifically aims to maximize cumulative wealth, drawing on the Kelly approach [9] to maximizing long-term expected value. Here, OPS sequentially allocates capital among a group of assets, employing, as appropriate, one of several portfolio selection strategies:

References

  1. ↑ Peng, Zijin; Xu, Weijun; Li, Hongyi (2020-01-29). "A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion". Discrete Dynamics in Nature and Society. 2020: 1–13. doi: 10.1155/2020/5956146 . ISSN   1026-0226.
  2. ↑ Thames, Hudson and (2020-04-26). "Introducing Online Portfolio Selection". Hudson & Thames. Retrieved 2024-07-21.
  3. ↑ Harrison, Kyle Robert; Elsayed, Saber; Garanovich, Ivan Leonidovich; Weir, Terence; Boswell, Sharon G.; Sarker, Ruhul Amin (2021-11-13). Evolutionary and Memetic Computing for Project Portfolio Selection and Scheduling. Springer Nature. ISBN   978-3-030-88315-7.
  4. ↑ Li, Bin; Hoi, Steven C. H. (2013-05-19), Online Portfolio Selection: A Survey, arXiv: 1212.2129
  5. ↑ Li, Bin; Hoi, Steven C. H. (2014-01-01). "Online portfolio selection: A survey". ACM Comput. Surv. 46 (3): 35:1–35:36. doi:10.1145/2512962. ISSN   0360-0300.
  6. ↑ Li, Bin; Hoi, Steven Chu Hong (2018-10-30). Online Portfolio Selection: Principles and Algorithms. CRC Press. ISBN   978-1-4822-4964-4.
  7. ↑ Mehta, S. K.; Kumar, Sushil (2007). Portfolio Selection and Investment. Deep & Deep Publications. ISBN   978-81-7629-900-8.
  8. ↑ Securities and Exchange Board of India (2015-12-15). "Stock Market Prediction and Investment Portfolio Selection Using Computational Approach". SlideShare. Retrieved 2024-07-21.
  9. ↑ MacLean, Leonard C.; Thorp, Edward O.; Ziemba, W. T. (2011). The Kelly Capital Growth Investment Criterion: Theory and Practice. World Scientific. ISBN   978-981-4293-49-5.
  10. ↑ Raja, Sudeep (2022-11-24). "Online Portfolio Selection - Introduction". Sudeep Raja. Retrieved 2024-07-21.
  11. ↑ Validi, Javad; Najafi, Amir Abbas; Validi, Alireza (2020-10-22). "Online Portfolio Selection Based on Follow-the-Loser Algorithms". Financial Research Journal. 22 (3): 408–427. doi:10.22059/frj.2020.291101.1006941. ISSN   1024-8153.
  12. ↑ Xi, Wenzhi; Li, Zhanfeng; Song, Xinyuan; Ning, Hanwen (2023-12-01). "Online portfolio selection with predictive instantaneous risk assessment". Pattern Recognition. 144 109872. Bibcode:2023PatRe.14409872X. doi:10.1016/j.patcog.2023.109872. ISSN   0031-3203.
  13. ↑ "Online portfolios selection". doi:10.1109/SSCI.2017.8280902.{{cite web}}: Missing or empty |url= (help)
  14. ↑ Fereydooni, Ali; Barak, Sasan; Asaad Sajadi, Seyed Mehrzad (2024-02-01). "A novel online portfolio selection approach based on pattern matching and ESG factors". Omega. 123 102975. doi:10.1016/j.omega.2023.102975. ISSN   0305-0483.
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