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] (with the universal portfolio algorithm as predecessor). 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

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  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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