Online Methods for Portfolio Selection

Abstract

This chapter overviews recent online portfolio selection strategies for financial markets. These investment strategies achieve asymptotically the same exponential rate of growth as the portfolio that turns out to be best ex post in the long run and do not require any underlying statistical assumptions on the nature of the stock market. The experimental results, which compare the performance of these strategies with respect to a standard sequence of historical data, demonstrate a high future potential of online portfolio selection algorithms.