Universal Portfolios and Adaptive Trading     [back]

(Note: this list was created around 2004 and has not been maintained beyond updating the links. If you know of an updated/current source, I'd be happy to add a reference to it here. Thx.)

Initial reading:

T. Cover and J. Thomas, Elements of Information Theory, Wiley & Sons, New York, 1991

Universal portfolio:
Cover's papers are on his website: http://www.stanford.edu/~cover/cover-papers.html

T. Cover. Universal Portfolios. Mathematical Finance, 1(1): 1-29, January 1991

T. Cover and E. Ordentlich. Universal Portfolios with Side Information. IEEE Transactions on Information Theory, 42(2):348-363, March 1996.

E. Ordentlich and T. Cover. The Cost of Achieving the Best Portfolio in Hindsight. Mathematics of Operations Research, 23(4):960-982, November 1998.

Online portfolio selection - Ordentlich, Cover - 1996

Other authors and Universal Portfolios:
Universal Portfolios With and Without Transaction Costs - Blum, Kalai (1997)

Efficient Algorithms for Universal Portfolios - Kalai, Vempala (2002)

Universal portfolio selection, V. Vovk and C. Watkins.

Online portfolio selection:
On the Competitive Theory and Practice of Portfolio Selection - Borodin, El-Yaniv, Gogan (2002)

On-Line Portfolio Selection Using Multiplicative Updates - Helmbold, Schapire, Singer, ..(1998)

Internal regret in on-line portfolio selection Gabor Lugosi and Gilles Stoltz 2005.

Experts:
The weighted majority algorithm - Littlestone, Warmuth - 1994

Tracking the best expert - Herbster, Warmuth, Widmer and Kubat - 1995

Tracking a Small Set of Experts by Mixing Past Posteriors - Bousquet, Warmuth (2002)

Games and experts:
Adaptive game playing using multiplicative weights Freund and Schapire 1999

Efficient algorithms for learning to play repeated games against computationally bounded adversaries. Freund, Kearns, Mansour, Ron, Rubinfeld, and Schapire. 1995

Technical analysis (trading strategies):
A suggested book: Katz and McCormick, The encyclopedia of trading strategies.