Online Portfolio Balancing in Diverse Markets

Abstract:

This paper presents two separate algorithms, Pocket Exponentiated Gradient (PEG) and Venus Online (VON), which offer advantages over existing algorithms for the portfolio balancing problem. PEG attempts to leverage an existing algorithm described by Helmbold et al.[4] by selecting a manageable subset of stocks from a much larger “virtual” portfolio, while Venus Online responds to triggers in the data that signal unusual departures from previously observed data distributions.