Online portfolio selection

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

Proponents say 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

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

Types

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

References

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.

External links

Online portfolio selection algorithms at GitHub.