Online Learning of Commission Avoidant Portfolio Ensembles

3 May 2016  ·  Guy Uziel, Ran El-Yaniv ·

We present a novel online ensemble learning strategy for portfolio selection. The new strategy controls and exploits any set of commission-oblivious portfolio selection algorithms... The strategy handles transaction costs using a novel commission avoidance mechanism. We prove a logarithmic regret bound for our strategy with respect to optimal mixtures of the base algorithms. Numerical examples validate the viability of our method and show significant improvement over the state-of-the-art. read more

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