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Online portfolio selection

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Online portfolio selection (OPS) is an algorithm based trading strategy which sequentially allocates capital among a group of assets to optimise returns on investments.[1][2][3][4][5][6][7]

Proponents say the benefit is that it is designed so that the investor never loses money on stocks. In 2015, it was used by the Securities and Exchange Board of India.[8]

History

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The concept of online portfolio selection first started in 1952 with an essay by Harry Markowitz giving the theory of portfolio selection Modern portfolio theory.[9] The online portfolio selection was first implemented in 2012 by Bin Li and Bin Hoi at Wuhan University.[10][11][12]

Types

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  • Follow the leader[13]
  • Follow the loser[14]
  • Fuzzy approach
  • Risk assessment[15]
  • Follow either winner or loser[16]
  • Pattern recognition based[17]

References

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  1. ^ "Online portfolio selection". ouci.dntb.gov.ua (in Ukrainian). Retrieved 2024-07-21.
  2. ^ Dochow, Robert (2016-05-24). Online Algorithms for the Portfolio Selection Problem. Springer. ISBN 978-3-658-13528-7.
  3. ^ MacLean, Leonard C.; Thorp, Edward O.; Ziemba, W. T. (2011). The Kelly Capital Growth Investment Criterion: Theory and Practice. World Scientific. ISBN 978-981-4293-49-5.
  4. ^ Peng, Zijin; Xu, Weijun; Li, Hongyi (2020-01-29). "A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion". Discrete Dynamics in Nature and Society. 2020: 1–13. doi:10.1155/2020/5956146. ISSN 1026-0226.
  5. ^ Harrison, Kyle Robert; Elsayed, Saber; Garanovich, Ivan Leonidovich; Weir, Terence; Boswell, Sharon G.; Sarker, Ruhul Amin (2021-11-13). Evolutionary and Memetic Computing for Project Portfolio Selection and Scheduling. Springer Nature. ISBN 978-3-030-88315-7.
  6. ^ Thames, Hudson and (2020-04-26). "Introducing Online Portfolio Selection". Hudson & Thames. Retrieved 2024-07-21.
  7. ^ Mehta, S. K.; Kumar, Sushil (2007). Portfolio Selection and Investment. Deep & Deep Publications. ISBN 978-81-7629-900-8.
  8. ^ "Stock Market Prediction and Investment Portfolio Selection Using Computational Approach". SlideShare. 2015-12-15. Retrieved 2024-07-21.
  9. ^ Markowitz, Harry (March 1952). "PORTFOLIO SELECTION*". The Journal of Finance. 7 (1): 77–91. doi:10.1111/j.1540-6261.1952.tb01525.x. ISSN 0022-1082.
  10. ^ Li, Bin; Hoi, Steven C. H. (2013-05-19), Online Portfolio Selection: A Survey, arXiv:1212.2129
  11. ^ Li, Bin; Hoi, Steven C. H. (2014-01-01). "Online portfolio selection: A survey". ACM Comput. Surv. 46 (3): 35:1–35:36. doi:10.1145/2512962. ISSN 0360-0300.
  12. ^ Li, Bin; Hoi, Steven Chu Hong (2018-10-30). Online Portfolio Selection: Principles and Algorithms. CRC Press. ISBN 978-1-4822-4964-4.
  13. ^ Raja, Sudeep (2022-11-24). "Online Portfolio Selection - Introduction". Sudeep Raja. Retrieved 2024-07-21.
  14. ^ Validi, Javad; Najafi, Amir Abbas; Validi, Alireza (2020-10-22). "Online Portfolio Selection Based on Follow-the-Loser Algorithms". Financial Research Journal. 22 (3): 408–427. doi:10.22059/frj.2020.291101.1006941. ISSN 1024-8153.
  15. ^ Xi, Wenzhi; Li, Zhanfeng; Song, Xinyuan; Ning, Hanwen (2023-12-01). "Online portfolio selection with predictive instantaneous risk assessment". Pattern Recognition. 144: 109872. Bibcode:2023PatRe.14409872X. doi:10.1016/j.patcog.2023.109872. ISSN 0031-3203.
  16. ^ "Online portfolios selection". doi:10.1109/SSCI.2017.8280902.
  17. ^ Fereydooni, Ali; Barak, Sasan; Asaad Sajadi, Seyed Mehrzad (2024-02-01). "A novel online portfolio selection approach based on pattern matching and ESG factors". Omega. 123: 102975. doi:10.1016/j.omega.2023.102975. ISSN 0305-0483.
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Online portfolio selection algorithms at GitHub.

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