CanWeBeatBestStock

CanWeBeatBestStock - Can We Learn to Beat the Best Stock...

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Click to edit Master subtitle style 5/10/10 Can We Learn to Beat the Best Stock Allan Borodin Ran El-Yaniv Vincent Gogon Presented By: Puja Das
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5/10/10 Agenda Background Portfolio ANTICOR Algorithm Results of comparison Conclusion
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5/10/10 Preliminaries We have m stocks bt is a vector of weights over m stocks bt(i) from i = 1 to m , sums to 1 Every bt(i) >= 0 We have n total time units, subscript t denotes a specific time.
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5/10/10 Preliminaries bt is the vector of weights at time t bt is chosen at the beginning of day t xt is the vector of relative performance of all the stocks over the course of day t xt = closing price on t / opening price at t
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5/10/10 Portfolio Selection Static Buy-and-Hold Strategy (BAH): relies on tendency of successful markets to grow. U-BAH, BAH*(Best Stock in hindsight) Active Constant Balanced Portfolio(CBAL)
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5/10/10 Constant Rebalanced Portfolio (CRP) Portfolio has the same distribution of wealth on Day Stock 1 Stock 2
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CanWeBeatBestStock - Can We Learn to Beat the Best Stock...

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