Online Portfolio Selection: Principles and Algorithms

I: INTRODUCTION
Introduction
Background
What Is Online Portfolio Selection?
Methodology
Book Overview
Problem Formulation
Problem Settings 
Transaction Costs and Margin Buying Models
Evaluation
Summary 
II: Principles 
Benchmarks
Buy-and-Hold Strategy
Best Stock Strategy 
Constant Rebalanced Portfolios
Follow the Winner 
Universal Portfolios
Exponential Gradient 
Follow the Leader 
Follow the Regularized Leader
Summary 
Follow the Loser
Mean Reversion
Anticorrelation 
Summary 
Pattern Matching 
Sample Selection Techniques 
Portfolio Optimization Techniques 
Combinations 
Summary 
Meta-Learning 
Aggregating Algorithms
Fast Universalization 
Online Gradient and Newton Updates 
Follow the Leading History 
Summary 
III: Algorithms 
Correlation-Driven Nonparametric Learning 
Preliminaries
Formulations 
Algorithms
Analysis
Summary 
Passive–Aggressive Mean Reversion 
Preliminaries 
Formulations
Algorithms 
Analysis
Summary
Confidence-Weighted Mean Reversion
Preliminaries 
Formulations
Algorithms 
Analysis
Summary 
Online Moving Average Reversion 
Preliminaries
Formulations 
Algorithms 
Analysis 
Summary 
IV: Empirical Studies 
Implementations 
The OLPS Platform
Data 
Setups
Performance Metrics 
Summary
Empirical Results 
Experiment 1: Evaluation of Cumulative Wealth 
Experiment 2: Evaluation of Risk and Risk-Adjusted Return 
Experiment 3: Evaluation of Parameter Sensitivity
Experiment 4: Evaluation of Practical Issues 
Experiment 5: Evaluation of Computational Time
Experiment 6: Descriptive Analysis of Assets and Portfolios 
Summary
Threats to Validity 
On Model Assumptions 
On Mean Reversion Assumptions 
On Theoretical Analysis 
On Back-Tests 
Summary
V: Conclusion 
Conclusions 
Future Directions
Appendix A: OLPS: A Toolbox for Online Portfolio Selection 
Introduction
Framework and Interfaces
Strategies
Summary 
Appendix B: Proofs and Derivations 
Proof of CORN
Derivations of PAMR
Derivations of CWMR
Derivation of OLMAR
Appendix C: Supplementary Data and Portfolio Statistics 
Bibliography
Index