Journal of Guangdong University of Technology ›› 2020, Vol. 37 ›› Issue (04): 59-64.doi: 10.12052/gdutxb.190091

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An Online Portfolio Strategy Based on Active Expert Advice

He Jin-an, Wang Bei, Lin Jia-xing   

  1. School of Management, Guangdong University of Technology, Guangzhou 510520, China
  • Received:2019-07-05 Online:2020-07-11 Published:2020-07-02

Abstract: It is a common investment decision-making method for investors to comprehensively consider expert advice. By aggregating active expert advice, a new online portfolio strategy is proposed. First, considering all constant rebalanced portfolio strategies as experts, an active expert set is constructed by eliminating the worst recent performing expert. Second, using the weak aggregating algorithm to aggregate all active expert advice, an online portfolio strategy is then constructed. The proposed strategy is numerically analyzed by using actual stock data. The results show that the strategy has a more competitive performance.

Key words: online portfolio, active expert advice, weak aggregating algorithm, moving window, online learning

CLC Number: 

  • F830.59
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[1] Yang Xing-yu, He Jin-an, Shen Jian-hua. An Adaptive Online Portfolio Strategy Based on Moving Window [J]. Journal of Guangdong University of Technology, 2018, 35(03): 61-66.
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