
arXiv: 1212.2129
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining. This article aims to provide a comprehensive survey and a structural understanding of online portfolio selection techniques published in the literature. From an online machine learning perspective, we first formulate online portfolio selection as a sequential decision problem, and then we survey a variety of state-of-the-art approaches, which are grouped into several major categories, including benchmarks, Follow-the-Winner approaches, Follow-the-Loser approaches, Pattern-Matching--based approaches, and Meta-Learning Algorithms. In addition to the problem formulation and related algorithms, we also discuss the relationship of these algorithms with the capital growth theory so as to better understand the similarities and differences of their underlying trading ideas. This article aims to provide a timely and comprehensive survey for both machine learning and data mining researchers in academia and quantitative portfolio managers in the financial industry to help them understand the state of the art and facilitate their research and practical applications. We also discuss some open issues and evaluate some emerging new trends for future research.
FOS: Computer and information sciences, Internet topics, Databases and Information Systems, Finance and Financial Management, Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance, Computer Science - Artificial Intelligence, Research exposition (monographs, survey articles) pertaining to computer science, Learning and adaptive systems in artificial intelligence, Computational Finance (q-fin.CP), Computational Engineering, Finance, and Science (cs.CE), FOS: Economics and business, machine learning, Quantitative Finance - Computational Finance, Artificial Intelligence (cs.AI), Portfolio theory, Portfolio Management (q-fin.PM), Machine learning, Portfolio and Security Analysis, portfolio selection, Computer Science - Computational Engineering, Finance, and Science, Numerical Analysis and Scientific Computing, optimization, Quantitative Finance - Portfolio Management
FOS: Computer and information sciences, Internet topics, Databases and Information Systems, Finance and Financial Management, Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance, Computer Science - Artificial Intelligence, Research exposition (monographs, survey articles) pertaining to computer science, Learning and adaptive systems in artificial intelligence, Computational Finance (q-fin.CP), Computational Engineering, Finance, and Science (cs.CE), FOS: Economics and business, machine learning, Quantitative Finance - Computational Finance, Artificial Intelligence (cs.AI), Portfolio theory, Portfolio Management (q-fin.PM), Machine learning, Portfolio and Security Analysis, portfolio selection, Computer Science - Computational Engineering, Finance, and Science, Numerical Analysis and Scientific Computing, optimization, Quantitative Finance - Portfolio Management
| selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | 148 | |
| popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network. | Top 1% | |
| influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Top 1% | |
| impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Top 10% |
