A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion
Mean reversion is an important property when constructing efficient contrarian strategies. Researchers observe that mean reversion has multiperiodical and asymmetric nature simultaneously in real market. To better utilize mean reversion and improve the existing online portfolio selection strategies,...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/5956146 |
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