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We revisit the classical online portfolio selection problem.
Über monotone matrixfunktionen
K.T’. Löwner · 1934
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Universal portfolios
Thomas M Cover · 1991
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A game of prediction with expert advice
V. G. Vovk · 1995
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On-line portfolio selection using multiplicative updates
David P Helmbold, Robert E Schapire, Yoram Singer, and Manfred K Warmuth · 1998
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Efficient algorithms for universal portfolios
Adam Kalai and Santosh S. Vempala · 2000
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Efficient algorithms for online game playing and universal portfolio management
Amit Agarwal and Elad Hazan · 2005
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Algorithms for portfolio management based on the newton method
Amit Agarwal, Elad Hazan, Satyen Kale, and Robert E Schapire · 2006
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Logarithmic regret algorithms for online convex optimization
Elad Hazan, Amit Agarwal, and Satyen Kale · 2007
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Complex-valued matrix differentiation: Techniques and key results
Are Hjorungnes and David Gesbert · 2007
Cited alongside, same era.
An online portfolio selection algorithm with regret logarithmic in price variation
Elad Hazan and Satyen Kale · 2015
Cited alongside, same era.
Soft-bayes: Prod for mixtures of experts with log-loss
Laurent Orseau, Tor Lattimore, and Shane Legg · 2017
Cited alongside, same era.
Online learning of quantum states
Scott Aaronson, Xinyi Chen, Elad Hazan, Satyen Kale, and Ashwin Nayak · 2018
Later among the works it cites.
Efficient online portfolio with logarithmic regret
Haipeng Luo, Chen-Yu Wei, and Kai Zheng · 2018
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Online convex programming and generalized infinitesimal gradient ascent
Martin Zinkevich · 2018
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Adapting to misspecification in contextual bandits
Dylan J Foster, Claudio Gentile, Mehryar Mohri, and Julian Zimmert · 2020
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Open problem: Fast and optimal online portfolio selection
Tim Van Erven, Dirk Van der Hoeven, Wojciech Kotłowski, and Wouter M Koolen · 2020
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