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1 DMA - Département de Mathématiques et Applications 2 Department of Economics

Abstract : This paper extends the game-theoretic notion of internal regret to the case of on-line potfolio selection problems. New sequential investment strategies are designed to minimize the cumulative internal regret for all possible market behaviors. Some of the introduced strategies, apart from achieving a small internal regret, achieve an accumulated wealth almost as large as that of the best constantly rebalanced portfolio. It is argued that the low-internal-regret property is related to stability and experiments on real stock exchange data demonstrate that the new strategies achieve better returns compared to some known algorithms.

keyword : individual sequences internal regret on-line investment universal portfolio EG strategy

Autor: Gilles Stoltz - Gabor Lugosi -



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