On‐Line Portfolio Selection Using Multiplicative Updates
提出一个在线投资算法，仅需常数存储和计算时间，在纽约证券交易所22年数据上表现优于最佳单一股票和Cover的通用投资组合算法。
We present an on‐line investment algorithm that achieves almost the same wealth as the best constant‐rebalanced portfolio determined in hindsight from the actual market outcomes. The algorithm employs a multiplicative update rule derived using a framework introduced by Kivinen and Warmuth. Our algorithm is very simple to implement and requires only constant storage and computing time per stock in each trading period. We tested the performance of our algorithm on real stock data from the New York Stock Exchange accumulated during a 22‐year period. On these data, our algorithm clearly outperforms the best single stock as well as Cover's universal portfolio selection algorithm. We also present results for the situation in which the investor has access to additional “side information.”