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Code: Online Learning Algorithms for Portfolio Selection

software
posted on 2023-10-27, 12:25 authored by David WhiteDavid White, Tim GebbieTim Gebbie

Portfolio selection strategies exist which can perform as well as the best constant rebalanced portfolio and can beat the best stock in the market. In this project, three such algorithms are implemented, namely the Universal Portfolio introduced by Cover (1991), the ANTICOR algorithm introduced by Borodin et al. (2004) and the nearest neighbour based approach used by Györfi et al. (2008). Each algorithm is tested on real data from the New York Stock Exchange (NYSE). For the backtests of the ANTICOR algorithm on the NYSE data, measures of backtest overfitting introduced by Bailey et al. (2014) are calculated, including deflated Sharpe ratios and probabilities of backtest overfitting. This code implements the above algorithms and measures of backtest overfitting on the NYSE data using MATLAB.

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Department/Unit

Department of Statistical Sciences