Online portfolio selection strategy by learning from expert advice with side information
Previous online portfolio selection strategies by learning from expert advice often do not employ side information to improve the return of investors.This paper selects the strategies of investing in the same single stock under the same side information state and possibly investing in different single stocks under different side information states as the expert advice.Meanwhile,this paper proposes an online portfolio selection strategy by learning from expert advice with side information(EWAES)based on the exponentially weighted average algorithm(EWA).It is theoretically proved that the strategy can track the optimal expert advice for any stock price sequence.Finally,the numerical analysis for the EWAES strategy using the actual stock data of Chinese and American financial markets shows the effectiveness of this strategy.
online portfolioside informationexpert adviceexponentially weighted average algorithm
万方数据
维普
