PAMR : passive aggressive mean reversion strategy for portfolio selection
This article proposes a novel online portfolio selection strategy named “Passive Aggressive Mean Reversion” (PAMR). Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning tech...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/79730 http://hdl.handle.net/10220/18316 |