Research Article
A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion
(1) | Input: Reversion threshold ; Predicted next price relative vector ; Current portfolio ; Loss function parameters | (2) | Output: Next portfolio | (3) | Calculate the Lagrangian multiplier: | | | (4) | Update the portfolio: | | | (5) | Normalize the portfolio: | | |
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