[1] Markowitz H. Portfolio selection: Efficient diversification of investments[M]. New York: Wiley, 1959.
[2] Luenberger D G. Investment science[M]. New York: Oxford University Press, 1998.
[3] Cover T M, Gluss D H. Empirical Bayes stock market portfolios[J]. Advances in applied mathematics, 1986, 7(2):170-181.
[4] Cover T M, Thomas J A. Elements of information theory[M]. New York: John Wiley & Sons, 1991.
[5] Breiman L. Optimal gambling systems for favorable games[J]. Proceedings of the Berkeley Symposium on Mathematical Statistics and Probability, 1961, 1:65-78.
[6] Gyorfi L, Ottucsák G, Urbán A. Empirical log-optimal portfolio selections: a survey[R]. Working Paper, Budapest University of Technology and Economics, 2007.
[7] Lo A W, MacKinlay A C. Stock market prices do not follow random walks: Evidence from a simple specification test[J]. Review of Financial Studies, 1988, 1(1):41-66.
[8] 刘兴华, 杨建梅. 证券市场的条件可预测性分析[J]. 管理科学学报, 2008, 11(6):77-83.
[9] Gyorfi L, Schafer D. Nonparametric prediction[M]//. Suykens J A K, Horváth G, Basu S, et al. Advances in learning theory: Methods, models and applications. Netherlands: IOS Press, 2003.
[10] Gyorfi L, Urbán A, Vajda I. Kernel-based semi-log-optimal empirical portfolio selection strategies[J]. International Journal of Theoretical and Applied Finance, 2007, 10(3):505-516.
[11] Gyorfi L, Udina F, Walk H. Nonparametric nearest neighbor based empirical portfolio selection strategies[J]. Statistics and Decisions, 2008, 26(2):145-157.
[12] Borodin A, El-Yaniv R, Gogan V. Can we learn to beat the best stock[J]. Journal of Artificial Intelligence Research, 2004, 21:579-594.
[13] Li Bin, Hoi S C, Gopalkrishnan V. CORN: Correlation-driven nonparametric learning approach for portfolio selection[J]. ACM Transactions on Intelligent Systems and Technology, 2010, 2(3):21.
[14] Mori T F. On favourable stochastic games[J]. Annales Univ. Sci. Budapest, 1982, 3:99-103.
[15] Algoet P H, Cover T M. Asymptotic optimality and asymptotic equipartition properties of log-optimum investment[J]. The Annals of Probability, 1988, 16(2):876-898.
[16] Algoet P. The strong law of large numbers for sequential decisions under uncertainty[J]. EE Transactions on Information Theory, 1994, 40:609-634.
[17] Algoet P. Universal schemes for prediction, gambling and portfolio selection[J]. The Annals of Probability, 1992, 20(2):901-941.
[18] Pearl J. Causality: Models, reasoning, and inference[M]. Combridge: Cambridge University Press, 2000.
[19] Li Bin, Zhao Peilin, Hoi S C, et al. PAMR: Passive aggressive mean reversion strategy for portfolio selection[J]. Machine Learning, 2012, 87(2):221 -258.
[20] Cover T M. Universal Portfolios[J]. Mathematical Finance, 1991, 1(1):1-29.
[21] Singer Y. Switching Portfolios[J]. International Journal of Neural Systems, 1997, 8(4):488-495.
[22] Helmbold D P, Schapire R E, Singer Y, et al. On-line portfolio selection using multiplicative updates[J]. Mathematical Finance, 1998, 8(4):325-347.
[23] Blum A, Kalai A. Universal portfolios with and without transaction Costs[J]. Machine Learning, 1999, 35(3):193-205. |