Growth-Optimal Portfolio Selection under CVaR Constraints

27 May 2017

Papers citing "Growth-Optimal Portfolio Selection under CVaR Constraints"

10 / 10 papers shown

Title
Adaptive Algorithms for Online Convex Optimization with Long-term Constraints Rodolphe Jenatton Jim C. Huang Cédric Archambeau 128 157 0 23 Dec 2015
Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach Yinlam Chow Aviv Tamar Shie Mannor Marco Pavone 118 317 0 06 Jun 2015
Algorithms for CVaR Optimization in MDPs Yinlam Chow Mohammad Ghavamzadeh 73 198 0 12 Jun 2014
Online Portfolio Selection: A Survey Bin Li Guosheng Lin 106 267 0 10 Dec 2012
On-Line Portfolio Selection with Moving Average Reversion Bin Li Guosheng Lin 63 86 0 18 Jun 2012
Trading Regret for Efficiency: Online Convex Optimization with Long Term Constraints M. Mahdavi Rong Jin Tianbao Yang 178 264 0 25 Nov 2011
Can We Learn to Beat the Best Stock A. Borodin Ran El-Yaniv Vincent Gogan AIFin 83 251 0 30 Jun 2011
Sequential Quantile Prediction of Time Series Gérard Biau B. Patra AI4TS 79 35 0 18 Aug 2009
Statistical Learning Theory: Models, Concepts, and Results U. V. Luxburg Bernhard Schölkopf 103 245 0 27 Oct 2008
A simple randomized algorithm for sequential prediction of ergodic time series László Gyorfi G. Lugosi G. Morvai 317 57 0 20 May 2008