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AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION |
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| Authors: | Elad Hazan Satyen Kale | |
| Institution: | 1. Technion—Israel Institute of Technology;2. IBM T.J. Watson Research Center | |
| Abstract: | We present a novel efficient algorithm for portfolio selection which theoretically attains two desirable properties: | |
| Keywords: | regret minimization portfolio selection online convex optimization | |