Author | Title | Year | Journal/Proceedings | Reftype | DOI/URL |
---|---|---|---|---|---|

Markowitz, H. | Portfolio Selection [BibTeX] |
1952 | The Journal of Finance Vol. 7(1), pp. 77-91 |
article | URL |

BibTeX:
@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} } |
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Bernoulli, D. | Exposition of a New Theory on the Measurement of Risk [BibTeX] |
1954 | Econometrica Vol. 23, pp. 23 - 36 |
article | |

BibTeX:
@article{Bernoulli54, author = {D. Bernoulli}, title = {Exposition of a New Theory on the Measurement of Risk}, journal = {Econometrica}, year = {1954}, volume = {23}, pages = {23 -- 36} } |
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Kelly J., J. | A New Interpretation of Information Rate [BibTeX] |
1956 | Bell Systems Technical Journal Vol. 35, pp. 917-926 |
article | URL |

BibTeX:
@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} } |
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Latané, H.A. | Criteria for Choice Among Risky Ventures [BibTeX] |
1959 | The Journal of Political Economy Vol. 67(2), pp. 144-155 |
article | URL |

BibTeX:
@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}, pages = {144--155}, url = {www.jstor.org/stable/1825390} } |
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Markowitz, H. | Portfolio Selection: Efficient Diversification of Investments [BibTeX] |
1959 | book | ||

BibTeX:
@book{Markowitz59, author = {Harry Markowitz}, title = {Portfolio Selection: Efficient Diversification of Investments}, publisher = {New York : Wiley}, year = {1959} } |
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Breiman, L. | Optimal Gambling Systems For Favorable Games [BibTeX] |
1961 | Proceedings of the Berkeley Symposium on Mathematical Statistics and Probability Vol. 1, pp. 65-78 |
article | URL |

BibTeX:
@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} } |
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Latané, H.A. and Tuttle, D.L. | Criteria for Portfolio Building [BibTeX] |
1967 | The Journal of Finance Vol. 22(3), pp. 359-373 |
article | URL |

BibTeX:
@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} } |
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Thorp, E.O. and Kassouf, S.T. | Beat the market: a scientific stock market system [BibTeX] |
1967 | book | URL | |

BibTeX:
@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} } |
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Thorp, E.O. | Optimal Gambling Systems for Favorable Games [BibTeX] |
1969 | Review of the International Statistical Institute Vol. 37(3), pp. 273-293 |
article | URL |

BibTeX:
@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} } |
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Hakansson, N.H. | Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions [BibTeX] |
1970 | Econometrica Vol. 38(5), pp. 587-607 |
article | URL |

BibTeX:
@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} } |
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Hakansson, N.H. | On Optimal Myopic Portfolio Policies, With and Without Serial Correlation of Yields [BibTeX] |
1971 | The Journal of Business Vol. 44(3), pp. 324-334 |
article | URL |

BibTeX:
@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} } |
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Samuelson, P.A. | The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling [BibTeX] |
1971 | Proceedings of the National Academy of Sciences of the United States of America Vol. 68(10), pp. 2493-2496 |
article | URL |

BibTeX:
@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} } |
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Thorp, E.O. | Portfolio Choice and the Kelly Criterion [BibTeX] |
1971 | Business and Economics Section of the American Statistical Association | inproceedings | |

BibTeX:
@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} } |
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Roll, R. | Evidence on the "Growth-Optimum" Model [BibTeX] |
1973 | The Journal of Finance Vol. 28(3), pp. 551 - 566 |
article | URL |

BibTeX:
@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} } |
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Bell, R.M. and Cover, T.M. | Competitive Optimality of Logarithmic Investment [BibTeX] |
1980 | Mathematics of Operations Research Vol. 5(2), pp. 161-162 |
article | URL |

BibTeX:
@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} } |
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Finkelstein, M. and Whitley, R. | Optimal Strategies for Repeated Games [BibTeX] |
1981 | Advances in Applied Probability Vol. 13(2), pp. 415-428 |
article | URL |

BibTeX:
@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} } |
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Hausch, D.B., Ziemba, W.T. and Rubinstein, M. | Efficiency of the Market for Racetrack Betting [BibTeX] |
1981 | MANAGEMENT SCIENCE Vol. 27(12), pp. 1435-1452 |
article | URL |

BibTeX:
@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} } |
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Cover | An algorithm for maximizing expected log investment return [BibTeX] |
1984 | IEEE Transactions on Information Theory Vol. 30(2), pp. 369 - 373 |
article | URL |

BibTeX:
@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} } |
|||||

Thorp, E.O. | The Mathematics of Gambling [BibTeX] |
1984 | book | URL | |

BibTeX:
@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} } |
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Cover, T.M. and Gluss, D.H. | Empirical Bayes stock market portfolios [BibTeX] |
1986 | Advances in applied mathematics Vol. 7(2), pp. 170-181 |
article | URL |

BibTeX:
@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} } |
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Cover, T.M. | Log Optimal Portfolios [BibTeX] |
1987 | Gambling Research: Gambling and Risk Taking | incollection | |

BibTeX:
@incollection{Cover87, author = {Thomas M. Cover}, title = {Log Optimal Portfolios}, booktitle = {Gambling Research: Gambling and Risk Taking}, publisher = {University of Nevada-Reno}, year = {1987} } |
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Algoet, P.H. and Cover, T.M. | Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment [BibTeX] |
1988 | The Annals of Probability Vol. 16(2), pp. 876-898 |
article | URL |

BibTeX:
@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} } |
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Barron, A.R. and Cover, T.M. | A Bound on the Financial Value of Information [BibTeX] |
1988 | IEEE Transactions on Information Theory Vol. 34(5), pp. 1097-1100 |
article | URL |

BibTeX:
@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} } |
|||||

Bell, R. and Cover, T.M. | Game-Theoretic Optimal Portfolios [BibTeX] |
1988 | Management Science Vol. 34(6), pp. 724-733 |
article | URL |

BibTeX:
@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} } |
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Cover, T.M. | Universal Portfolios [BibTeX] |
1991 | Mathematical Finance Vol. 1(1), pp. 1-29 |
article | URL |

BibTeX:
@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} } |
|||||

Morvai, G. | Empirical Log-Optimal Portfolio Selection [BibTeX] |
1991 | Problems of Control and Information Theory Vol. 20(6), pp. 453 - 463 |
article | URL |

BibTeX:
@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} } |
|||||

Algoet, P. | Universal Schemes for Prediction, Gambling and Portfolio Selection [BibTeX] |
1992 | The Annals of Probability Vol. 20(2), pp. 901-941 |
article | URL |

BibTeX:
@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} } |
|||||

Rotando, L. and Thorp, E.O. | The Kelly criterion and the stock market [BibTeX] |
1992 | American Mathematical Monthly Vol. 99(10), pp. 922-931 |
article | URL |

BibTeX:
@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} } |
|||||

Chopra, V.K. and Ziemba, W.T. | The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice [BibTeX] |
1993 | The Journal of Portfolio Management Vol. 19, pp. 6-11 |
article | URL |

BibTeX:
@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} } |
|||||

El-Yaniv, R. | On-line algorithms and financial decision-making [BibTeX] |
1994 | School: University of Toronto |
phdthesis | |

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

Hakansson, N.H. and Ziemba, W.T. | Capital Growth Theory [BibTeX] |
1995 | Handbooks in OR & MS | incollection | URL |

BibTeX:
@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} } |
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Cover, T.M. and Ordentlich, E. | Universal portfolios with side information [BibTeX] |
1996 | IEEE Transactions on Information Theory Vol. 42(2), pp. 348-363 |
article | URL |

BibTeX:
@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} } |
|||||

Cover, T.M. | Universal Data Compression and Portfolio Selection [BibTeX] |
1996 | Proceedings of the Annual IEEE Symposium on Foundations of Computer Science | inproceedings | URL |

BibTeX:
@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} } |
|||||

Ordentlich, E. and Cover, T.M. | On-Line Portfolio Selection [BibTeX] |
1996 | Proceedings of the Annual Conference on Learning Theory | inproceedings | URL |

BibTeX:
@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} } |
|||||

Ordentlich, E. | Universal investment and universal data compression [BibTeX] |
1996 | School: Stanford University |
phdthesis | URL |

BibTeX:
@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} } |
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Helmbold, D.P., Schapire, R.E., Singer, Y. and Warmuth, M.K. | A Comparison of New and Old Algorithms for a Mixture Estimation Problem [BibTeX] |
1997 | Machine Learning Vol. 27(1), pp. 97-119 |
article | URL |

BibTeX:
@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/} } |
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Singer, Y. | Switching Portfolios [BibTeX] |
1997 | International Journal of Neural Systems Vol. 8(4), pp. 488-495 |
article | URL |

BibTeX:
@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} } |
|||||

Thorp, E.O. | The Kelly Criterion In Blackjack, Sports Betting, and The Stock Market [BibTeX] |
1997 | Proceedings of the International Conference on Gambling and Risk Taking | conference | URL |

BibTeX:
@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} } |
|||||

Cover, T. and Ordentlich, E. | Universal portfolios with short sales and margin [BibTeX] |
1998 | Proceedings of the Annual IEEE International Symposium on Information Theory | inproceedings | URL |

BibTeX:
@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} } |
|||||

El-Yaniv, R. | Competitive solutions for online financial problems [BibTeX] |
1998 | ACM Computing Survey Vol. 30, pp. 28-69 |
article | URL |

BibTeX:
@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} } |
|||||

Helmbold, D.P., Schapire, R.E., Singer, Y. and Warmuth, M.K. | On-Line Portfolio Selection Using Multiplicative Updates [BibTeX] |
1998 | Mathematical Finance Vol. 8(4), pp. 325-347 |
article | URL |

BibTeX:
@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} } |
|||||

Ordentlich, E. and Cover, T.M. | The Cost of Achieving the Best Portfolio in Hindsight [BibTeX] |
1998 | Mathematics of Operations Research Vol. 23(4), pp. 960-982 |
article | URL |

BibTeX:
@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} } |
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Vovk, V.G. and Watkins, C. | Universal Portfolio Selection [BibTeX] |
1998 | Proceedings of the Annual Conference on Learning Theory | inproceedings | URL |

BibTeX:
@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} } |
|||||

Blum, A. and Kalai, A. | Universal Portfolios With and Without Transaction Costs [BibTeX] |
1999 | Machine Learning Vol. 35(3), pp. 193-205 |
article | URL |

BibTeX:
@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/} } |
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Borodin, A., El-Yaniv, R. and Gogan, V. | On the Competitive Theory and Practice of Portfolio Selection (Extended Abstract) [BibTeX] |
2000 | Proceedings of the Latin American Symposium on Theoretical Informatics | inproceedings | URL |

BibTeX:
@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} } |
|||||

Kalai, A. and Vempala, S. | Efficient Algorithms for Universal Portfolios [BibTeX] |
2002 | Journal of Machine Learning Research Vol. 3, pp. 423-440 |
article | URL |

BibTeX:
@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} } |
|||||

Cross, J.E. and Barron, A.R. | Efficient Universal Portfolios for Past-Dependent Target Classes [BibTeX] |
2003 | Mathematical Finance Vol. 13(2), pp. 245-276 |
article | URL |

BibTeX:
@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} } |
|||||

Borodin, A., El-Yaniv, R. and Gogan, V. | Can We Learn to Beat the Best Stock [BibTeX] |
2004 | Journal of Artificial Intelligence Research Vol. 21, pp. 579-594 |
article | URL |

BibTeX:
@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} } |
|||||

MacLean, L.C., Sanegre, R., Zhao, Y. and Ziemba, W.T. | Capital growth with security [BibTeX] |
2004 | Journal of Economic Dynamics and Control Vol. 28(5), pp. 937 - 954 |
article | URL |

BibTeX:
@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} } |
|||||

Akcoglu, K., Drineas, P. and Ming-Yang | Fast Universalization of Investment Strategies [BibTeX] |
2005 | SIAM Journal on Computing Vol. 34(1), pp. 1-22 |
article | URL |

BibTeX:
@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} } |
|||||

Belentepe, C.Y. | A Statistical View of Universal Portfolios [BibTeX] |
2005 | School: University of Pennsylvania |
phdthesis | URL |

BibTeX:
@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/} } |
|||||

Iyengar, G. | Universal Investment in Markets with Transaction Costs [BibTeX] |
2005 | Mathematical Finance Vol. 15(2), pp. 359-371 |
article | URL |

BibTeX:
@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} } |
|||||

Maclean, L., Ziemba, W. and Li, Y. | Time to wealth goals in capital accumulation [BibTeX] |
2005 | Quantitative Finance Vol. 5(4), pp. 343-355 |
article | URL |

BibTeX:
@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} } |
|||||

Platen, E. | On the Role of the Growth Optimal Portfolio in Finance [BibTeX] |
2005 | Australian Economic Papers Vol. 44(4), pp. 365-388 |
article | URL |

BibTeX:
@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} } |
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Poundstone, W. | Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street [BibTeX] |
2005 | book | URL | |

BibTeX:
@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} } |
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Stoltz, G. and Lugosi, Gá. | Internal Regret in On-Line Portfolio Selection [BibTeX] |
2005 | Machine Learning Vol. 59(1-2), pp. 125-159 |
article | URL |

BibTeX:
@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} } |
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Ziemba, W.T... | The Symmetric Downside-Risk Sharpe Ratio and the Evaluation of Great Investors and Speculators [BibTeX] |
2005 | The Journal of Portfolio Management Vol. 32(1), pp. 108-122 |
article | URL |

BibTeX:
@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} } |
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Agarwal, A., Hazan, E., Kale, S. and Schapire, R.E. | Algorithms for portfolio management based on the newton method [BibTeX] |
2006 | Proceedings of International Conference on Machine Learning | inproceedings | URL |

BibTeX:
@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} } |
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DeMarzo, P., Kremer, I. and Mansour, Y. | Online trading algorithms and robust option pricing [BibTeX] |
2006 | Proceedings of the ACM Symposium on Theory of Computing | inproceedings | URL |

BibTeX:
@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} } |
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Györfi, Lá., Lugosi, Gá. and Udina, F. | Nonparametric Kernel-Based Sequential Investment Strategies [BibTeX] |
2006 | Mathematical Finance Vol. 16(2), pp. 337-357 |
article | URL |

BibTeX:
@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} } |
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Vajda, I. | Analysis of semi-log-optimal investment strategies [BibTeX] |
2006 | Proceedings of Prague Stochastic | inproceedings | URL |

BibTeX:
@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} } |
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Creamer, G.G. and Freund, Y. | A Boosting Approach for Automated Trading [BibTeX] |
2007 | Journal of Trading Vol. 2(3), pp. 84-96 |
article | URL |

BibTeX:
@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} } |
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Fagiuoli, E., Stella, F. and Ventura, A. | Constant rebalanced portfolios and side-information [BibTeX] |
2007 | Quantitative Finance Vol. 7(2), pp. 161-173 |
article | URL |

BibTeX:
@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} } |
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Györfi, Lá., Urbán, A. and Vajda, I. | Kernel-Based Semi-Log-Optimal Empirical Portfolio Selection Strategies [BibTeX] |
2007 | International Journal of Theoretical and Applied Finance Vol. 10(3), pp. 505-516 |
article | URL |

BibTeX:
@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} } |
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Kozat, S.S. and Singer, A.C. | Universal Constant Rebalanced Portfolios with Switching [BibTeX] |
2007 | Proceedings of the International Conference on Acoustics, Speech, and Signal Processing | inproceedings | URL |

BibTeX:
@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} } |
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Ottucsák, G. and Vajda, I. | An Asymptotic Analysis of the Mean-Variance portfolio selection [BibTeX] |
2007 | Statistics and Decisions Vol. 25, pp. 63-88 |
article | URL |

BibTeX:
@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} } |
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Yan, R.J. and Ling, C.X. | Machine learning for stock selection [BibTeX] |
2007 | Proceedings of the ACM SIGKDD International Conference on Knowledge Discovery and Data Mining | inproceedings | URL |

BibTeX:
@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} } |
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Györfi, Lá., Udina, F. and Walk, H. | Nonparametric Nearest Neighbor Based Empirical Portfolio Selection Strategies [BibTeX] |
2008 | Statistics and Decisions Vol. 26(2), pp. 145-157 |
article | URL |

BibTeX:
@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} } |
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Györfi, Lá. and Vajda, I. | Growth Optimal Investment with Transaction Costs [BibTeX] |
2008 | Proceedings of the Internationa Conference on Algorithmic Learning Theory | inproceedings | URL |

BibTeX:
@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} } |
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Kozat, S.S. and Singer, A.C. | Universal switching portfolios under transaction costs [BibTeX] |
2008 | Proceedings of the International Conference on Acoustics, Speech, and Signal Processing | inproceedings | URL |

BibTeX:
@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} } |
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Kozat, S.S., Singer, A.C. and Bean, A.J. | Universal portfolios via context trees [BibTeX] |
2008 | Proceedings of the International Conference on Acoustics, Speech, and Signal Processing | inproceedings | URL |

BibTeX:
@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} } |
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Lorenz, J.M. | Optimal Trading Algorithms: Portfolio Transaction, Multiperiod Portfolio Selection, and Competitive Online Search [BibTeX] |
2008 | School: ETH Zürich |
phdthesis | URL |

BibTeX:
@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} } |
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Levina, T. and Shafer, G. | Portfolio Selection and Online Learning [BibTeX] |
2008 | International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems Vol. 16(4), pp. 437-473 |
article | URL |

BibTeX:
@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} } |
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Thorp, E.O. | Understanding the Kelly Criterion [BibTeX] |
2008 | Wilmott Magazine Vol. NA, pp. NA |
article | |

BibTeX:
@article{Thorp08, author = {E. O. Thorp}, title = {Understanding the Kelly Criterion}, journal = {Wilmott Magazine}, year = {2008}, volume = {NA}, pages = {NA} } |
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Hazan, E. and Seshadhri, C. | Efficient learning algorithms for changing environments [BibTeX] |
2009 | Proceedings of the International Conference on Machine Learning | inproceedings | URL |

BibTeX:
@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} } |
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Creamer, G.G. and Freund, Y. | Automated Trading with Boosting and Expert Weighting [BibTeX] |
2010 | Quantitative Finance Vol. 10(4), pp. 401-420 |
article | URL |

BibTeX:
@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} } |
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Evstigneev, I.V. and Schenk-Hoppe, K.R. | Growing wealth with fixed-mix strategies [BibTeX] |
2010 | The Kelly Capital Growth Investment Criterion: Theory and Practice | incollection | URL |

BibTeX:
@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} } |
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Koolen, W. and de Rooij, S. | Switching Investments [BibTeX] |
2010 | Algorithmic Learning Theory | incollection | URL |

BibTeX:
@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} } |
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Laureti, P., Medo, M. and Zhang, Y.-C. | Analysis of Kelly-optimal portfolios [BibTeX] |
2010 | Quantitative Finance Vol. 10(7), pp. 689-697 |
article | URL |

BibTeX:
@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} } |
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MacLean, L.C., Thorp, E.O., Zhao, Y. and Ziemba, W.T. | Medium Term Simulations of the Full Kelly and Fractional Kelly Strategies Investment [BibTeX] |
2010 | The Kelly Capital Growth Investment Criterion: Theory and Practice | incollection | |

BibTeX:
@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} } |
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Ordentlich, E. | Universal Portfolios [BibTeX] |
2010 | Encyclopedia of Quantitative Finance | inbook | URL |

BibTeX:
@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} } |
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Stutzer, M. | On Growth-Optimality vs. Security against Underperformance [BibTeX] |
2010 | The Kelly Capital Growth Investment Criterion: Theory and Practice | incollection | |

BibTeX:
@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} } |
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Das, P. and Banerjee, A. | Meta Optimization and its Application to Portfolio Selection [BibTeX] |
2011 | Proceedings of International Conference on Knowledge Discovery and Data Mining | inproceedings | URL |

BibTeX:
@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} } |
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Kozat, S.S. and Singer, A.C. | Universal Semiconstant Rebalanced Portfolios [BibTeX] |
2011 | Mathematical Finance Vol. 21(2), pp. 293-311 |
article | URL |

BibTeX:
@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} } |
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Li, B., Hoi, S.C. and Gopalkrishnan, V. | CORN: Correlation-driven Nonparametric Learning Approach for Portfolio Selection [BibTeX] |
2011 | ACM Transactions on Intelligent Systems and Technology Vol. 2(3), pp. 21:1-21:29 |
article | URL |

BibTeX:
@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} } |
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Li, B., Hoi, S.C., Zhao, P. and Gopalkrishnan, V. | Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection [BibTeX] |
2011 | Proceedings of the International Conference on Artificial Intelligence and Statistics | inproceedings | URL |

BibTeX:
@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} } |
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MacLean, L.C., Thorp, E.O. and Ziemba, W.T. | The Kelly Capital Growth Investment Criterion: Theory and Practice [BibTeX] |
2011 | Vol. 3 |
book | URL |

BibTeX:
@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} } |
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MacLean, L.C., Thorp, E.O. and Ziemba, W.T. | Good and Bad Properties of the Kelly Criterion [BibTeX] |
2011 | The Kelly Capital Growth Investment Criterion: Theory and Practice | incollection | |

BibTeX:
@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} } |
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Stella, F. and Ventura, A. | Defensive Online Portfolio Selection [BibTeX] |
2011 | International Journal of Financial Markets and Derivatives Vol. 2(1/2), pp. 88-105 |
article | URL |

BibTeX:
@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/} } |
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Ziemba, W.T. and MacLean, L.C. | Using the Kelly Criterion for Investing [BibTeX] |
2011 | Stochastic Optimization Methods in Finance and Energy | incollection | URL |

BibTeX:
@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} } |
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Christensen, M.M. | On the history of the Growth Optimal Portfolio [BibTeX] |
2012 | Machine Learning for Financial Engineering | incollection | URL |

BibTeX:
@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} } |
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Gyorfi, L., Ottucsák, Gy. and Urbán, A. | Empirical log-optimal portfolio selections: a survey [BibTeX] |
2012 | Machine Learning for Financial EngineeringMachine Learning Summer School 2007, MLSS 2007 (invited lecture) | incollection | |

BibTeX:
@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} } |
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Györfi, Lá., Ottucsák, G. and Walk, H. | Machine Learning for Financial Engineering [BibTeX] |
2012 | book | URL | |

BibTeX:
@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} } |
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Gyorfi, L. and Walk, H. | Empirical portfolio selection strategies with proportional transaction costs [BibTeX] |
2012 | IEEE Transactions on Information Theory Vol. 58(10), pp. 6320-6331 |
article | URL |

BibTeX:
@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} } |
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Hazan, E. and Kale, S. | An Online Portfolio Selection Algorithm With Regret Logarithmic In Price Variation [BibTeX] |
2012 | Mathematical Finance Vol. NA, pp. NA |
article | URL |

BibTeX:
@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} } |
|||||

Li, B. and Hoi, S.C.H. | On-Line Portfolio Selection with Moving Average Reversion [BibTeX] |
2012 | Proceedings of the International Conference on Machine Learning | inproceedings | URL |

BibTeX:
@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} } |
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Li, B., Zhao, P., Hoi, S. and Gopalkrishnan, V. | PAMR: Passive aggressive mean reversion strategy for portfolio selection [BibTeX] |
2012 | Machine Learning Vol. 87(2), pp. 221-258 |
article | URL |

BibTeX:
@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/} } |
|||||

Tsagaris, T., Jasra, A. and Adams, N. | Robust and adaptive algorithms for online portfolio selection [BibTeX] |
2012 | Quantitative Finance Vol. 12(11), pp. 1651-1662 |
article | URL |

BibTeX:
@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} } |
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Zhang, W., Zhang, Y., Yang, X. and Xu, W. | A class of on-line portfolio selection algorithms based on linear learning [BibTeX] |
2012 | Applied Mathematics and Computation Vol. 218(24), pp. 11832 - 11841 |
article | URL |

BibTeX:
@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} } |
|||||

Li, B., Hoi, S.C., Zhao, P. and Gopalkrishnan, V. | Confidence Weighted Mean Reversion Strategy for On-Line Portfolio Selection [BibTeX] |
2013 | ACM Transactions on Knowledge Discovery from Data Vol. NA, pp. NA |
article | |

BibTeX:
@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} } |