@article{Markowitz52,
  author = {Harry Markowitz},
  title = {Portfolio Selection},
  journal = {The Journal of Finance},
  year = {1952},
  volume = {7},
  number = {1},
  pages = {77--91},
  url = {http://www.jstor.org/stable/2975974}
}

@article{Bernoulli54,
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  journal = {Econometrica},
  year = {1954},
  volume = {23},
  pages = {23 -- 36}
}

@article{Kelly56,
  author = {Kelly, J., Jr.},
  title = {A New Interpretation of Information Rate},
  journal = {Bell Systems Technical Journal},
  year = {1956},
  volume = {35},
  pages = {917--926},
  url = {http://www.bjmath.com/bjmath/kelly/kelly.pdf}
}

@article{Latane59,
  author = {Latané, Henry Allen},
  title = {Criteria for Choice Among Risky Ventures},
  journal = {The Journal of Political Economy},
  year = {1959},
  volume = {67},
  number = {2},
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}

@book{Markowitz59,
  author = {Harry Markowitz},
  title = {Portfolio Selection: Efficient Diversification of Investments},
  publisher = {New York : Wiley},
  year = {1959}
}

@article{Breiman61,
  author = {L. Breiman},
  title = {Optimal Gambling Systems For Favorable Games},
  journal = {Proceedings of the Berkeley Symposium on Mathematical Statistics and Probability},
  year = {1961},
  volume = {1},
  pages = {65--78},
  url = {www.bjmath.com/bjmath/breiman/breiman.pdf}
}

@article{LT67,
  author = {Latané, Henry A. and Tuttle, Donald L.},
  title = {Criteria for Portfolio Building},
  journal = {The Journal of Finance},
  year = {1967},
  volume = {22},
  number = {3},
  pages = {359--373},
  url = {www.jstor.org/stable/2978890}
}

@book{TK67,
  author = {Thorp, E.~O. and Kassouf, S.~T.},
  title = {Beat the market: a scientific stock market system},
  publisher = {New York : Random House},
  year = {1967},
  url = {http://www.amazon.com/Beat-Market-Scientific-Stock-System/dp/0394424395}
}

@article{Thorp69,
  author = {Thorp, E.~O.},
  title = {Optimal Gambling Systems for Favorable Games},
  journal = {Review of the International Statistical Institute},
  year = {1969},
  volume = {37},
  number = {3},
  pages = {273--293},
  url = {www.jstor.org/stable/1402118}
}

@article{Hakansson70,
  author = {Hakansson, Nils H},
  title = {Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions},
  journal = {Econometrica},
  year = {1970},
  volume = {38},
  number = {5},
  pages = {587--607},
  url = {www.jstor.org/stable/1912196}
}

@article{Hakansson71a,
  author = {Hakansson, Nils H.},
  title = {On Optimal Myopic Portfolio Policies, With and Without Serial Correlation of Yields},
  journal = {The Journal of Business},
  year = {1971},
  volume = {44},
  number = {3},
  pages = {324--334},
  url = {www.jstor.org/stable/2351346}
}

@article{Samuelson71,
  author = {Samuelson, Paul A.},
  title = {The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling},
  journal = {Proceedings of the National Academy of Sciences of the United States of America},
  year = {1971},
  volume = {68},
  number = {10},
  pages = {2493--2496},
  url = {http://www.pnas.org/content/68/10/2493.full.pdf+html}
}

@inproceedings{Thorp71,
  author = {Thorp, E.~O.},
  title = {Portfolio Choice and the Kelly Criterion},
  booktitle = {Business and Economics Section of the American Statistical Association},
  year = {1971}
}

@article{Roll73,
  author = {Roll, Richard},
  title = {Evidence on the "Growth-Optimum" Model},
  journal = {The Journal of Finance},
  year = {1973},
  volume = {28},
  number = {3},
  pages = {551 -- 566},
  url = {www.jstor.org/stable/2978628}
}

@article{BC80,
  author = {Robert M. Bell and Thomas M. Cover},
  title = {Competitive Optimality of Logarithmic Investment},
  journal = {Mathematics of Operations Research},
  year = {1980},
  volume = {5},
  number = {2},
  pages = {161--162},
  url = {www.jstor.org/stable/3689147}
}

@article{FW81,
  author = {Finkelstein, Mark and Whitley, Robert},
  title = {Optimal Strategies for Repeated Games},
  journal = {Advances in Applied Probability},
  year = {1981},
  volume = {13},
  number = {2},
  pages = {415--428},
  url = {www.jstor.org/stable/1426692}
}

@article{HZR81,
  author = {Hausch, Donald B. and Ziemba, William T. and Rubinstein, Mark},
  title = {Efficiency of the Market for Racetrack Betting},
  journal = {MANAGEMENT SCIENCE},
  year = {1981},
  volume = {27},
  number = {12},
  pages = {1435--1452},
  url = {http://mansci.journal.informs.org/content/27/12/1435.short}
}

@article{Cover84,
  author = {Cover},
  title = {An algorithm for maximizing expected log investment return},
  journal = {IEEE Transactions on Information Theory},
  year = {1984},
  volume = {30},
  number = {2},
  pages = {369 -- 373},
  url = {http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=1056869}
}

@book{Thorp84,
  author = {Thorp, E.~O.},
  title = {The Mathematics of Gambling},
  publisher = {Hollywood, CA : Gambling Times},
  year = {1984},
  url = {http://www.bjmath.com/bjmath/thorp/tog.htm}
}

@article{CG86,
  author = {Cover, T. M. and Gluss, D. H.},
  title = {Empirical Bayes stock market portfolios},
  journal = {Advances in applied mathematics},
  year = {1986},
  volume = {7},
  number = {2},
  pages = {170--181},
  url = {www-isl.stanford.edu/~cover/papers/paper67.pdf}
}

@incollection{Cover87,
  author = {Thomas M. Cover},
  title = {Log Optimal Portfolios},
  booktitle = {Gambling Research: Gambling and Risk Taking},
  publisher = {University of Nevada-Reno},
  year = {1987}
}

@article{AC88,
  author = {Paul H. Algoet and Thomas M. Cover},
  title = {Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment},
  journal = {The Annals of Probability},
  year = {1988},
  volume = {16},
  number = {2},
  pages = {876--898},
  url = {www.jstor.org/stable/2243845}
}

@article{BC88,
  author = {Andrew R. Barron and Thomas M. Cover},
  title = {A Bound on the Financial Value of Information},
  journal = {IEEE Transactions on Information Theory},
  year = {1988},
  volume = {34},
  number = {5},
  pages = {1097--1100},
  url = {http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=21241}
}

@article{BC88a,
  author = {Bell, Robert and Cover, Thomas M.},
  title = {Game-Theoretic Optimal Portfolios},
  journal = {Management Science},
  year = {1988},
  volume = {34},
  number = {6},
  pages = {724--733},
  url = {www.jstor.org/stable/2632126}
}

@article{Cover91,
  author = {Thomas M. Cover},
  title = {Universal Portfolios},
  journal = {Mathematical Finance},
  year = {1991},
  volume = {1},
  number = {1},
  pages = {1--29},
  url = {http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9965.1991.tb00002.x/abstract}
}

@article{Morvai91,
  author = {Morvai, G.},
  title = {Empirical Log-Optimal Portfolio Selection},
  journal = {Problems of Control and Information Theory},
  year = {1991},
  volume = {20},
  number = {6},
  pages = {453 -- 463},
  url = {http://www.math.bme.hu/~morvai/publications/papers/Morvai1991.pdf}
}

@article{Algoet92,
  author = {Paul Algoet},
  title = {Universal Schemes for Prediction, Gambling and Portfolio Selection},
  journal = {The Annals of Probability},
  year = {1992},
  volume = {20},
  number = {2},
  pages = {901--941},
  url = {www.jstor.org/stable/2244620}
}

@article{RT92,
  author = {Rotando, L.M. and Thorp, E.~O.},
  title = {The Kelly criterion and the stock market},
  journal = {American Mathematical Monthly},
  year = {1992},
  volume = {99},
  number = {10},
  pages = {922--931},
  url = {www.jstor.org/stable/2324484}
}

@article{CZ93,
  author = {Vijay K. Chopra and William T. Ziemba},
  title = {The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice},
  journal = {The Journal of Portfolio Management},
  year = {1993},
  volume = {19},
  pages = {6--11},
  url = {http://www.iijournals.com/doi/abs/10.3905/jpm.1993.409440}
}

@phdthesis{El-Yaniv94,
  author = {El-Yaniv, Ran},
  title = {On-line algorithms and financial decision-making},
  school = {University of Toronto},
  year = {1994}
}

@incollection{HZ95,
  author = {Nils H. Hakansson and William T. Ziemba},
  title = {Capital Growth Theory},
  booktitle = {Handbooks in OR & MS},
  publisher = {Elsevier Science},
  year = {1995},
  url = {www.hakansson.com/nils/papers/capital95.pdf}
}

@article{CO96,
  author = {Thomas M. Cover and Erik Ordentlich},
  title = {Universal portfolios with side information},
  journal = {IEEE Transactions on Information Theory},
  year = {1996},
  volume = {42},
  number = {2},
  pages = {348--363},
  url = {http://www-isl.stanford.edu/~cover/papers/cover_ordentlich_96.pdf}
}

@inproceedings{Cover96,
  author = {Thomas M. Cover},
  title = {Universal Data Compression and Portfolio Selection},
  booktitle = {Proceedings of the Annual IEEE Symposium on Foundations of Computer Science},
  year = {1996},
  url = {http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=548512}
}

@inproceedings{OC96,
  author = {Erik Ordentlich and Thomas M. Cover},
  title = {On-Line Portfolio Selection},
  booktitle = {Proceedings of the Annual Conference on Learning Theory},
  year = {1996},
  url = {http://dl.acm.org/citation.cfm?id=238161}
}

@phdthesis{Ordentlich96,
  author = {Ordentlich, Erik},
  title = {Universal investment and universal data compression},
  school = {Stanford University},
  year = {1996},
  url = {http://dl.acm.org/citation.cfm?id=924465}
}

@article{HSS+97,
  author = {David P. Helmbold and Robert E. Schapire and Yoram Singer and Manfred K. Warmuth},
  title = {A Comparison of New and Old Algorithms for a Mixture Estimation Problem},
  journal = {Machine Learning},
  year = {1997},
  volume = {27},
  number = {1},
  pages = {97--119},
  url = {http://www.springerlink.com/content/q51l22366kq54716/}
}

@article{Singer97,
  author = {Yoram Singer},
  title = {Switching Portfolios},
  journal = {International Journal of Neural Systems},
  year = {1997},
  volume = {8},
  number = {4},
  pages = {488--495},
  url = {http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.43.9848}
}

@conference{Thorp97,
  author = {Edward O. Thorp},
  title = {The Kelly Criterion In Blackjack, Sports Betting, and The Stock Market},
  booktitle = {Proceedings of the International Conference on Gambling and Risk Taking},
  year = {1997},
  url = {http://www.bjmath.com/bjmath/thorp/paper.htm}
}

@inproceedings{CO98,
  author = {T. Cover and Ordentlich, E.},
  title = {Universal portfolios with short sales and margin},
  booktitle = {Proceedings of the Annual IEEE International Symposium on Information Theory},
  year = {1998},
  url = {http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=708770}
}

@article{El-Yaniv98,
  author = {El-Yaniv, Ran},
  title = {Competitive solutions for online financial problems},
  journal = {ACM Computing Survey},
  year = {1998},
  volume = {30},
  pages = {28--69},
  url = {http://dl.acm.org/citation.cfm?id=274442}
}

@article{HSS+98,
  author = {David P. Helmbold and Robert E. Schapire and Yoram Singer and Manfred K. Warmuth},
  title = {On-Line Portfolio Selection Using Multiplicative Updates},
  journal = {Mathematical Finance},
  year = {1998},
  volume = {8},
  number = {4},
  pages = {325--347},
  url = {http://www.magicbroom.info/Papers/HelmboldScSiWa98.pdf}
}

@article{OC98,
  author = {Ordentlich, Erik and Cover, Thomas M.},
  title = {The Cost of Achieving the Best Portfolio in Hindsight},
  journal = {Mathematics of Operations Research},
  year = {1998},
  volume = {23},
  number = {4},
  pages = {960--982},
  url = {www.jstor.org/stable/3690641}
}

@inproceedings{VW98,
  author = {V. G. Vovk and Chris Watkins},
  title = {Universal Portfolio Selection},
  booktitle = {Proceedings of the Annual Conference on Learning Theory},
  year = {1998},
  url = {http://dl.acm.org/citation.cfm?id=279947}
}

@article{BK99,
  author = {Avrim Blum and Adam Kalai},
  title = {Universal Portfolios With and Without Transaction Costs},
  journal = {Machine Learning},
  year = {1999},
  volume = {35},
  number = {3},
  pages = {193--205},
  url = {http://www.springerlink.com/content/m01l6704j8377w67/}
}

@inproceedings{BEG00,
  author = {Allan Borodin and Ran El-Yaniv and Vincent Gogan},
  title = {On the Competitive Theory and Practice of Portfolio Selection (Extended Abstract)},
  booktitle = {Proceedings of the Latin American Symposium on Theoretical Informatics},
  year = {2000},
  url = {http://dl.acm.org/citation.cfm?id=690328}
}

@article{KV02,
  author = {Adam Kalai and Santosh Vempala},
  title = {Efficient Algorithms for Universal Portfolios},
  journal = {Journal of Machine Learning Research},
  year = {2002},
  volume = {3},
  pages = {423--440},
  url = {http://research.microsoft.com/en-us/um/people/adum/publications/pre-2003-efficient_algorithms_for_universal_portfolios.pdf}
}

@article{CB03,
  author = {Jason E. Cross and Andrew R. Barron},
  title = {Efficient Universal Portfolios for Past-Dependent Target Classes},
  journal = {Mathematical Finance},
  year = {2003},
  volume = {13},
  number = {2},
  pages = {245--276},
  url = {http://en.scientificcommons.org/23041326}
}

@article{BEG04,
  author = {Allan Borodin and Ran El-Yaniv and Vincent Gogan},
  title = {Can We Learn to Beat the Best Stock},
  journal = {Journal of Artificial Intelligence Research},
  year = {2004},
  volume = {21},
  pages = {579--594},
  url = {http://www.aaai.org/Papers/JAIR/Vol21/JAIR-2117.pdf}
}

@article{MSZ+04,
  author = {Leonard C. MacLean and Rafael Sanegre and Yonggan Zhao and William T. Ziemba},
  title = {Capital growth with security},
  journal = {Journal of Economic Dynamics and Control},
  year = {2004},
  volume = {28},
  number = {5},
  pages = {937 - 954},
  url = {http://www.sciencedirect.com/science/article/pii/S0165188903000563}
}

@article{ADM05,
  author = {Karhan Akcoglu and Petros Drineas and Ming-Yang},
  title = {Fast Universalization of Investment Strategies},
  journal = {SIAM Journal on Computing},
  year = {2005},
  volume = {34},
  number = {1},
  pages = {1-22},
  url = {http://epubs.siam.org/doi/abs/10.1137/S0097539702405619?journalCode=smjcat}
}

@phdthesis{Belentepe05,
  author = {Cengiz Y. Belentepe},
  title = {A Statistical View of Universal Portfolios},
  school = {University of Pennsylvania},
  year = {2005},
  url = {http://repository.upenn.edu/dissertations/AAI3179708/}
}

@article{Iyengar05,
  author = {Garud Iyengar},
  title = {Universal Investment in Markets with Transaction Costs},
  journal = {Mathematical Finance},
  year = {2005},
  volume = {15},
  number = {2},
  pages = {359--371},
  url = {http://onlinelibrary.wiley.com/doi/10.1111/j.0960-1627.2005.00223.x/abstract}
}

@article{MZL05,
  author = {Leonard Maclean and William Ziemba and Yuming Li},
  title = {Time to wealth goals in capital accumulation},
  journal = {Quantitative Finance},
  year = {2005},
  volume = {5},
  number = {4},
  pages = {343--355},
  url = {http://www.tandfonline.com/doi/abs/10.1080/14697680500149552#preview}
}

@article{Platen05,
  author = {Eckhard Platen},
  title = {On the Role of the Growth Optimal Portfolio in Finance},
  journal = {Australian Economic Papers},
  year = {2005},
  volume = {44},
  number = {4},
  pages = {365--388},
  url = {http://econpapers.repec.org/article/blaausecp/v_3a44_3ay_3a2005_3ai_3a4_3ap_3a365-388.htm}
}

@book{Poundstone05,
  author = {William Poundstone},
  title = {Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street},
  publisher = {New York : Hill and Wang},
  year = {2005},
  url = {http://www.amazon.com/Fortunes-Formula-Scientific-Betting-Casinos/dp/0809045990}
}

@article{SL05,
  author = {Gilles Stoltz and Gábor Lugosi},
  title = {Internal Regret in On-Line Portfolio Selection},
  journal = {Machine Learning},
  year = {2005},
  volume = {59},
  number = {1-2},
  pages = {125--159},
  url = {http://dl.acm.org/citation.cfm?id=1067304}
}

@article{Ziemba05,
  author = {William T . Ziemba},
  title = {The Symmetric Downside-Risk Sharpe Ratio and the Evaluation of Great Investors and Speculators},
  journal = {The Journal of Portfolio Management},
  year = {2005},
  volume = {32},
  number = {1},
  pages = {108--122},
  url = {http://www.iijournals.com/doi/abs/10.3905/jpm.2005.599515}
}

@inproceedings{AHK+06,
  author = {Amit Agarwal and Elad Hazan and Satyen Kale and Robert E. Schapire},
  title = {Algorithms for portfolio management based on the newton method},
  booktitle = {Proceedings of International Conference on Machine Learning},
  year = {2006},
  url = {http://dl.acm.org/citation.cfm?id=1143846}
}

@inproceedings{DKM06,
  author = {Peter DeMarzo and Ilan Kremer and Yishay Mansour},
  title = {Online trading algorithms and robust option pricing},
  booktitle = {Proceedings of the ACM Symposium on Theory of Computing},
  year = {2006},
  url = {http://dl.acm.org/citation.cfm?id=1132586}
}

@article{GLU06,
  author = {László Györfi and Gábor Lugosi and Frederic Udina},
  title = {Nonparametric Kernel-Based Sequential Investment Strategies},
  journal = {Mathematical Finance},
  year = {2006},
  volume = {16},
  number = {2},
  pages = {337--357},
  url = {http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9965.2006.00274.x/abstract}
}

@inproceedings{Vajda06,
  author = {I. Vajda},
  title = {Analysis of semi-log-optimal investment strategies},
  booktitle = {Proceedings of Prague Stochastic},
  year = {2006},
  url = {www.cs.bme.hu/~oti/portfolio/articles/semi-log.ps}
}

@article{CF07,
  author = {German G. Creamer and Yoav Freund},
  title = {A Boosting Approach for Automated Trading},
  journal = {Journal of Trading},
  year = {2007},
  volume = {2},
  number = {3},
  pages = {84--96},
  url = {http://www.iijournals.com/doi/abs/10.3905/jot.2007.688953}
}

@article{FSV07,
  author = {E. Fagiuoli and F. Stella and A. Ventura},
  title = {Constant rebalanced portfolios and side-information},
  journal = {Quantitative Finance},
  year = {2007},
  volume = {7},
  number = {2},
  pages = {161--173},
  url = {http://ideas.repec.org/a/taf/quantf/v7y2007i2p161-173.html}
}

@article{GUV07,
  author = {László Györfi and A. Urbán and István Vajda},
  title = {Kernel-Based Semi-Log-Optimal Empirical Portfolio Selection Strategies},
  journal = {International Journal of Theoretical and Applied Finance},
  year = {2007},
  volume = {10},
  number = {3},
  pages = {505--516},
  url = {www.cs.bme.hu/~oti/portfolio/articles/semi.ps}
}

@inproceedings{KS07,
  author = {Suleyman S. Kozat and Andrew C. Singer},
  title = {Universal Constant Rebalanced Portfolios with Switching},
  booktitle = {Proceedings of the International Conference on Acoustics, Speech, and Signal Processing},
  year = {2007},
  url = {http://ispl.korea.ac.kr/conference/ICASSP2007/pdfs/0301129.pdf}
}

@article{OV07,
  author = {György Ottucsák and István Vajda},
  title = {An Asymptotic Analysis of the Mean-Variance portfolio selection},
  journal = {Statistics and Decisions},
  year = {2007},
  volume = {25},
  pages = {63--88},
  url = {www.cs.bme.hu/~oti/portfolio/articles/marko.pdf}
}

@inproceedings{YL07,
  author = {Robert J. Yan and Charles X. Ling},
  title = {Machine learning for stock selection},
  booktitle = {Proceedings of the ACM SIGKDD International Conference on Knowledge Discovery and Data Mining},
  year = {2007},
  url = {http://dl.acm.org/citation.cfm?id=1281307}
}

@article{GUW08,
  author = {László Györfi and Frederic Udina and Harro Walk},
  title = {Nonparametric Nearest Neighbor Based Empirical Portfolio Selection Strategies},
  journal = {Statistics and Decisions},
  year = {2008},
  volume = {26},
  number = {2},
  pages = {145--157},
  url = {http://www.szit.bme.hu/~oti/portfolio/articles/NN.pdf}
}

@inproceedings{GV08,
  author = {László Györfi and István Vajda},
  title = {Growth Optimal Investment with Transaction Costs},
  booktitle = {Proceedings of the Internationa Conference on Algorithmic Learning Theory},
  year = {2008},
  url = {http://www.cs.bme.hu/~oti/portfolio/articles/costALT.pdf}
}

@inproceedings{KS08,
  author = {Suleyman S. Kozat and Andrew C. Singer},
  title = {Universal switching portfolios under transaction costs},
  booktitle = {Proceedings of the International Conference on Acoustics, Speech, and Signal Processing},
  year = {2008},
  url = {http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=4518882}
}

@inproceedings{KSB08,
  author = {Suleyman Serdar Kozat and Andrew C. Singer and Andrew J. Bean},
  title = {Universal portfolios via context trees},
  booktitle = {Proceedings of the International Conference on Acoustics, Speech, and Signal Processing},
  year = {2008},
  url = {http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=4518054}
}

@phdthesis{Lorenz08,
  author = {Julian Michael Lorenz},
  title = {Optimal Trading Algorithms: Portfolio Transaction, Multiperiod Portfolio Selection, and Competitive Online Search},
  school = {ETH Zürich},
  year = {2008},
  url = {http://www.cadmo.ethz.ch/as/people/alumni/jlorenz/personal_home/Papers/thesis-lorenz}
}

@article{LS08,
  author = {Tatsiana Levina and Glenn Shafer},
  title = {Portfolio Selection and Online Learning},
  journal = {International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems},
  year = {2008},
  volume = {16},
  number = {4},
  pages = {437--473},
  url = {http://www.worldscientific.com/doi/abs/10.1142/S0218488508005364}
}

@article{Thorp08,
  author = {E. O. Thorp},
  title = {Understanding the Kelly Criterion},
  journal = {Wilmott Magazine},
  year = {2008},
  volume = {NA},
  pages = {NA}
}

@inproceedings{HS09,
  author = {Elad Hazan and C. Seshadhri},
  title = {Efficient learning algorithms for changing environments},
  booktitle = {Proceedings of the International Conference on Machine Learning},
  year = {2009},
  url = {http://machinelearning.org/archive/icml2009/papers/75.pdf}
}

@article{CF10,
  author = {German G. Creamer and Yoav Freund},
  title = {Automated Trading with Boosting and Expert Weighting},
  journal = {Quantitative Finance},
  year = {2010},
  volume = {10},
  number = {4},
  pages = {401--420},
  url = {http://www.tandfonline.com/doi/abs/10.1080/14697680903104113}
}

@incollection{ES10,
  author = {Igor V. Evstigneev and Klaus Reiner Schenk-Hoppe},
  title = {Growing wealth with fixed-mix strategies},
  booktitle = {The Kelly Capital Growth Investment Criterion: Theory and Practice},
  publisher = {World Scientific},
  year = {2010},
  url = {http://ideas.repec.org/p/chf/rpseri/rp0937.html}
}

@incollection{KR10,
  author = {Koolen, Wouter and de Rooij, Steven},
  title = {Switching Investments},
  booktitle = {Algorithmic Learning Theory},
  publisher = {Springer Berlin / Heidelberg},
  year = {2010},
  url = {http://homepages.cwi.nl/~wmkoolen/switching_investments.pdf}
}

@article{LMZ10,
  author = {Paolo Laureti and Matus Medo and Yi-Cheng Zhang},
  title = {Analysis of Kelly-optimal portfolios},
  journal = {Quantitative Finance},
  year = {2010},
  volume = {10},
  number = {7},
  pages = {689-697},
  url = {http://www.tandfonline.com/doi/abs/10.1080/14697680902991619}
}

@incollection{MTZ+10,
  author = {L. C. MacLean and E. O. Thorp and Y. Zhao and W. T. Ziemba},
  title = {Medium Term Simulations of the Full Kelly and Fractional Kelly Strategies Investment},
  booktitle = {The Kelly Capital Growth Investment Criterion: Theory and Practice},
  publisher = {World Scientific},
  year = {2010}
}

@inbook{Ordentlich10,
  author = {Ordentlich, Erik},
  title = {Universal Portfolios},
  booktitle = {Encyclopedia of Quantitative Finance},
  publisher = {John Wiley & Sons, Ltd},
  year = {2010},
  url = {http://onlinelibrary.wiley.com/doi/10.1002/9780470061602.eqf14017/abstract}
}

@incollection{Stutzer10,
  author = {M. Stutzer},
  title = {On Growth-Optimality vs. Security against Underperformance},
  booktitle = {The Kelly Capital Growth Investment Criterion: Theory and Practice},
  publisher = {World Scientific},
  year = {2010}
}

@inproceedings{DB11,
  author = {Puja Das and Arindam Banerjee},
  title = {Meta Optimization and its Application to Portfolio Selection},
  booktitle = {Proceedings of International Conference on Knowledge Discovery and Data Mining},
  year = {2011},
  url = {http://dl.acm.org/citation.cfm?id=2020588}
}

@article{KS11,
  author = {Suleyman S. Kozat and Andrew C. Singer},
  title = {Universal Semiconstant Rebalanced Portfolios},
  journal = {Mathematical Finance},
  year = {2011},
  volume = {21},
  number = {2},
  pages = {293-311},
  url = {http://www.ifp.illinois.edu/~singer/pub_files/Universal_semiconstant_rebalanced_portfolios.pdf}
}

@article{LHG11,
  author = {Bin Li and Steven C.H. Hoi and Viveknand Gopalkrishnan},
  title = {CORN: Correlation-driven Nonparametric Learning Approach for Portfolio Selection},
  journal = {ACM Transactions on Intelligent Systems and Technology},
  year = {2011},
  volume = {2},
  number = {3},
  pages = {21:1--21:29},
  url = {http://dl.acm.org/citation.cfm?id=1961193}
}

@inproceedings{LHZ+11,
  author = {Bin Li and Steven C.H. Hoi and Peilin Zhao and Viveknand Gopalkrishnan},
  title = {Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection},
  booktitle = {Proceedings of the International Conference on Artificial Intelligence and Statistics},
  year = {2011},
  url = {http://jmlr.csail.mit.edu/proceedings/papers/v15/li11b/li11b.pdf}
}

@book{MTZ11,
  author = {Leonard C MacLean and Edward O Thorp and William T Ziemba},
  title = {The Kelly Capital Growth Investment Criterion: Theory and Practice},
  publisher = {Singapore : World Scientific},
  year = {2011},
  volume = {3},
  url = {http://www.amazon.com/Kelly-Capital-Growth-Investment-Criterion/dp/9814383139}
}

@incollection{MTZ11a,
  author = {L. C. MacLean and E. O. Thorp and W. T. Ziemba},
  title = {Good and Bad Properties of the Kelly Criterion},
  booktitle = {The Kelly Capital Growth Investment Criterion: Theory and Practice},
  publisher = {World Scientific},
  year = {2011}
}

@article{SV11,
  author = {Fabio Stella and Alfonso Ventura},
  title = {Defensive Online Portfolio Selection},
  journal = {International Journal of Financial Markets and Derivatives},
  year = {2011},
  volume = {2},
  number = {1/2},
  pages = {88-105},
  url = {http://mpra.ub.uni-muenchen.de/33279/}
}

@incollection{ZM11,
  author = {Ziemba, William T. and MacLean, Leonard C.},
  title = {Using the Kelly Criterion for Investing},
  booktitle = {Stochastic Optimization Methods in Finance and Energy},
  publisher = {New York : Springer},
  year = {2011},
  url = {http://link.springer.com/chapter/10.1007%2F978-1-4419-9586-5_1}
}

@incollection{Christensen12,
  author = {M. M. Christensen},
  title = {On the history of the Growth Optimal Portfolio},
  booktitle = {Machine Learning for Financial Engineering},
  publisher = {London : Imperial College Press},
  year = {2012},
  url = {http://www.cs.bme.hu/~oti/portfolio/articles/history.pdf}
}

@incollection{GOU12,
  author = {L. Gyorfi and Gy. Ottucsák and A. Urbán},
  title = {Empirical log-optimal portfolio selections: a survey},
  booktitle = {Machine Learning for Financial Engineering},
  publisher = {London : Imperial College Press},
  year = {2012}
}

@book{GOW12,
  author = {László Györfi and Gy. Ottucsák and Harro Walk},
  title = {Machine Learning for Financial Engineering},
  publisher = {Singapore : World Scientific},
  year = {2012},
  url = {http://www.cs.bme.hu/~oti/portfolio/icp.html}
}

@article{GW12,
  author = {Gyorfi, L. and Harro Walk},
  title = {Empirical portfolio selection strategies with proportional transaction costs},
  journal = {IEEE Transactions on Information Theory},
  year = {2012},
  volume = {58},
  number = {10},
  pages = {6320--6331},
  url = {http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=6230655}
}

@article{HK12,
  author = {Hazan, Elad and Kale, Satyen},
  title = {An Online Portfolio Selection Algorithm With Regret Logarithmic In Price Variation},
  journal = {Mathematical Finance},
  year = {2012},
  volume = {NA},
  pages = {NA},
  url = {http://onlinelibrary.wiley.com/doi/10.1111/mafi.12006/abstract}
}

@inproceedings{LH12,
  author = {Bin Li and Steven C. H. Hoi},
  title = {On-Line Portfolio Selection with Moving Average Reversion},
  booktitle = {Proceedings of the International Conference on Machine Learning},
  year = {2012},
  url = {icml.cc/2012/papers/168.pdf}
}

@article{LZH+12,
  author = {Li, Bin and Zhao, Peilin and Hoi, Steven and Gopalkrishnan, Vivekanand},
  title = {PAMR: Passive aggressive mean reversion strategy for portfolio selection},
  journal = {Machine Learning},
  year = {2012},
  volume = {87},
  number = {2},
  pages = {221-258},
  url = {http://www.springerlink.com/content/vx7j46h8848085tu/}
}

@article{TJA12,
  author = {Tsagaris, Theodoros and Jasra, Ajay and Adams, Niall},
  title = {Robust and adaptive algorithms for online portfolio selection},
  journal = {Quantitative Finance},
  year = {2012},
  volume = {12},
  number = {11},
  pages = {1651-1662},
  url = {http://www.tandfonline.com/doi/abs/10.1080/14697688.2012.691175}
}

@article{ZZY+12,
  author = {Weiguo Zhang and Yong Zhang and Xingyu Yang and Weijun Xu},
  title = {A class of on-line portfolio selection algorithms based on linear learning},
  journal = {Applied Mathematics and Computation},
  year = {2012},
  volume = {218},
  number = {24},
  pages = {11832 - 11841},
  url = {http://www.sciencedirect.com/science/article/pii/S009630031200553X}
}

@article{LHZ+13,
  author = {Bin Li and Steven C.H. Hoi and Peilin Zhao and Viveknand Gopalkrishnan},
  title = {Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection},
  journal = {ACM Transactions on Knowledge Discovery from Data},
  year = {2013},
  volume = {NA},
  pages = {NA}
}