Internal Regret in On-Line Portfolio Selection

This paper extends the game-theoretic notion of internal regret to the case of on-line potfolio selection problems. New sequential investment strategies are designed to minimize the cumulative internal regret for all possible market behaviors. Some of the introduced strategies, apart from achieving a small internal regret, achieve an accumulated wealth almost as large as that of the best constantly rebalanced portfolio. It is argued that the low-internal-regret property is related to stability and experiments on real stock exchange data demonstrate that the new strategies achieve better returns compared to some known algorithms.

• Type: Conference
• Year: 2003
• Where: COLT
• Authors: Gilles Stoltz, Gábor Lugosi
• Keywords: COLT 2003, Cumulative Internal Regret, Internal Regret, Small Internal Regret