A novel risk-control model for the online portfolio selection of high-frequency transactions

Online portfolio selection (OPS) is an active area of study that has recently attracted the attention of researchers from a diverse range of fields. However, the existing models applied to financial markets typically do not consider incremental learning, asset volatility, and the removal of system n...

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Veröffentlicht in:	Knowledge-based systems 2022-03, Vol.240, p.108176, Article 108176
Hauptverfasser:	Li, Bo, Wang, Qi, Yu, Yuan, Sun, Meng-Ze, Chen, Liang-Xia, Xiang, Zhong-Liang, Zhao, Feng, Lv, Qing-Cong, An, Zhi-Yong
Format:	Artikel
Sprache:	eng
Schlagworte:	Bidirectional-broad learning system Cumulative return Eigenvalues Eigenvectors Learning Matrix theory Noise Online portfolio selection Principal component analysis Principal components analysis Risk control Risk management Volatility
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