We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrives. In particular, we look at two online algorithms: Robust-Exponentially Weighted Least Squares...

Selection bias is a perennial problem when constructing and evaluating scorecards. It is familiar in the context of reject inference, but crops up in many other situations as well. In this paper, we examine the impact of how accepting or rejecting customers using one scorecard leads to biased...

The task of monitoring for a change in the mean of a sequence of Bernoulli random variables has been widely studied. However most existing approaches make at least one of the following assumptions, which may be violated in many real-world situations: (1) the pre-change value of the Bernoulli...

We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations as new data arrives. In particular, we look at two online algorithms: Robust-Exponentially Weighted Least Squares...