olpsR-package: olpsR: Algorithms and functions for On-line Portfolio...

In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description

The olpsR package provides different online portfolio selection algorithms and functions to deal with the online portfolio selection problem. Datasets to test the algorithms are also included.

Algorithms

The following online portfolio selection algorithms are currently implemented:

• BH: Buy-and-Hold

• BHbest: best Buy-and-Hold

• CRP: Constant Rebalanced Portfolio

• BCRP: Best Constant Rebalanced Portfolio

• UP: Universal Portfolio

• EG: Exponential Gradient

• SCRP: Successive Constant Rebalanced Portfolio

• Anticor: Anticor

• PAMR: Passive Aggressive Mean Reversion

• CWMR: Confidence Weighted Mean Reversion

• VT: Volatility Timing

For more details on the algorithms please refer to the paper "Online Portfolio Selection: A Survey" by Bin Li and Steven C. Hoi (http://arxiv.org/pdf/1212.2129.pdf)

Functions

'Helper' functions, e.g. to transform stock prices into price relatives or into a Kelly market sequence.

Datasets

Historical stock prices for different markets.

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.