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Alternative Market Briefing

Paper: Passive aggressive mean reversion strategy for portfolio selection
Monday, February 13, 2017

Matthias Knab, Opalesque:

This article proposes a novel online portfolio selection strategy named "Passive Aggressive Mean Reversion" (PAMR).

Unlike traditional trend following approaches, the proposed approach relies upon the mean reversion relation of financial markets. Equipped with online passive aggressive learning technique from machine learning, the proposed portfolio selection strategy can effectively exploit the mean reversion property of markets.

By analyzing PAMR's update scheme, we find that it nicely trades off between portfolio return and volatility risk and reflects the mean reversion trading principle. We also present several variants of PAMR algorithm, inc......................

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