Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is … most academic portfolio optimization models are intractable in real life although they present solid theoretical properties …. However, the emergence and the rapid development of robo-advisors means that we need to rethink portfolio optimization and go …

machine learning. We propose a novel adjusted learning algorithm based on peak price tracking for OLPS to tackle this … challenge. The algorithm is based on an aggressive strategy with residual information and transaction costs. We first propose an … adjusted online portfolio selection algorithm using Peak Price Tracking Approach (PPTA) to improve the accuracy of return …

-maximization algorithm. To illustrate the efficacy of the optimal strategy, we demonstrate its performance through simulations and compare it …