Finance:Online portfolio selection

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Short description: Financial stock selection strategy

Online portfolio selection (OPS) [1] [2] is an algorithm-based [3] trading strategy that seeks to optimise investment returns. It was first implemented in 2012 by Bin Li and Bin Hoi at Wuhan University [4][5][6] (with the universal portfolio algorithm as predecessor). OPS is contrasted with more traditional approaches to portfolio optimization: [7][8] while mean-variance optimization seeks to balance risk and return, OPS specifically aims to maximize cumulative wealth, drawing on the Kelly approach[9] to maximizing long-term expected value. Here, OPS sequentially allocates capital among a group of assets, employing, as appropriate, one of several portfolio selection strategies:

References

  1. ↑ Peng, Zijin; Xu, Weijun; Li, Hongyi (2020-01-29). "A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion" (in en). Discrete Dynamics in Nature and Society 2020: 1–13. doi:10.1155/2020/5956146. ISSN 1026-0226. 
  2. ↑ Thames, Hudson and (2020-04-26). "Introducing Online Portfolio Selection" (in en-US). https://hudsonthames.org/introducing-online-portfolio-selection/. 
  3. ↑ Harrison, Kyle Robert; Elsayed, Saber; Garanovich, Ivan Leonidovich; Weir, Terence; Boswell, Sharon G.; Sarker, Ruhul Amin (2021-11-13) (in en). Evolutionary and Memetic Computing for Project Portfolio Selection and Scheduling. Springer Nature. ISBN 978-3-030-88315-7. https://books.google.com/books?id=X3hOEAAAQBAJ&q=online+portfolio+selection. 
  4. ↑ Li, Bin; Hoi, Steven C. H. (2013-05-19), Online Portfolio Selection: A Survey 
  5. ↑ Li, Bin; Hoi, Steven C. H. (2014-01-01). "Online portfolio selection: A survey". ACM Comput. Surv. 46 (3): 35:1–35:36. doi:10.1145/2512962. ISSN 0360-0300. https://doi.org/10.1145/2512962. 
  6. ↑ Li, Bin; Hoi, Steven Chu Hong (2018-10-30) (in en). Online Portfolio Selection: Principles and Algorithms. CRC Press. ISBN 978-1-4822-4964-4. https://books.google.com/books?id=R2fdCgAAQBAJ&q=online+portfolio+selection. 
  7. ↑ Mehta, S. K.; Kumar, Sushil (2007) (in en). Portfolio Selection and Investment. Deep & Deep Publications. ISBN 978-81-7629-900-8. https://books.google.com/books?id=1nM8ZNJ0qDwC&q=online+portfolio+selection. 
  8. ↑ Securities and Exchange Board of India (2015-12-15). "Stock Market Prediction and Investment Portfolio Selection Using Computational Approach" (in en). https://www.slideshare.net/slideshow/stock-market-prediction-and-investment-portfolio-selection-using-computational-approach/56150880. 
  9. ↑ MacLean, Leonard C.; Thorp, Edward O.; Ziemba, W. T. (2011) (in en). The Kelly Capital Growth Investment Criterion: Theory and Practice. World Scientific. ISBN 978-981-4293-49-5. https://books.google.com/books?id=GherKrR0X5cC&q=online+portfolio+selection. 
  10. ↑ Raja, Sudeep (2022-11-24). "Online Portfolio Selection - Introduction". https://sudeepraja.github.io/OPS1/sudeepraja.github.io/OPS1/. 
  11. ↑ Validi, Javad; Najafi, Amir Abbas; Validi, Alireza (2020-10-22). "Online Portfolio Selection Based on Follow-the-Loser Algorithms" (in en). Financial Research Journal 22 (3): 408–427. doi:10.22059/frj.2020.291101.1006941. ISSN 1024-8153. https://jfr.ut.ac.ir/article_78466_en.html. 
  12. ↑ Xi, Wenzhi; Li, Zhanfeng; Song, Xinyuan; Ning, Hanwen (2023-12-01). "Online portfolio selection with predictive instantaneous risk assessment". Pattern Recognition 144. doi:10.1016/j.patcog.2023.109872. ISSN 0031-3203. Bibcode: 2023PatRe.14409872X. https://www.sciencedirect.com/science/article/pii/S0031320323005708. 
  13. ↑ "Online portfolios selection". doi:10.1109/SSCI.2017.8280902. 
  14. ↑ Fereydooni, Ali; Barak, Sasan; Asaad Sajadi, Seyed Mehrzad (2024-02-01). "A novel online portfolio selection approach based on pattern matching and ESG factors". Omega 123. doi:10.1016/j.omega.2023.102975. ISSN 0305-0483. https://www.sciencedirect.com/science/article/pii/S0305048323001391. 



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