16 PROBLEM FORMULATION
dataset contains a large number of trading transactions, which is often the case in our
empirical evaluations, we could regard the distribution of profit/loss as normal. The
smaller the probability, the higher the confidence we have toward the strategy.
2.4 Summary
Online portfolio selection (OLPS) is a fundamental and practical computational
finance problem. It can be mathematically formulated as a sequential decision task
that aims to decide the best sequence of decisions to maximize the investment goals in
the long run. It has been extensively studied in the literature, and recent years have wit-
nessed a rapid growth of fruitful research achievements. The next part will introduce
a family of important principles widely used for solving this challenging task.
T&F Cat #K23731 — K23731_C002 — page 16 — 9/28/2015 — 21:06
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