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.
关键词
在线投资组合/边信息/专家意见/指数加权平均算法
Key words
online portfolio/side information/expert advice/exponentially weighted average algorithm
维普
万方数据