| 13.02.2017 Paper: Passive aggressive mean reversion strategy for portfolio selection |
| 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 stra |
| Article source: https://pdfs.semanticscholar.org/5c98/76c3e765395b92f08d617dd4e29815f69b87.pdf - Opalesque is not responsible for the content of external internet sites |