Online Learning of Commission Avoidant Portfolio Ensembles

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Uziel, Guy; El-Yaniv, Ran;
  • Subject: Computer Science - Artificial Intelligence | Computer Science - Learning

We present a novel online ensemble learning strategy for portfolio selection. The new strategy controls and exploits any set of commission-oblivious portfolio selection algorithms. The strategy handles transaction costs using a novel commission avoidance mechanism. We p... View more
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