Online Portfolio Selection with Long-Short Term Forecasting

Roujia Li and Jia Liu ()
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Roujia Li: Xi’an Jiaotong University
Jia Liu: Xi’an Jiaotong University

SN Operations Research Forum, 2022, vol. 3, issue 4, 1-15

Abstract: Abstract This work considers an online portfolio selection problem with reward and risk criteria. We use short-term historical data to forecast the reward term, reflecting the current market trend. We use conditional value-at-risk estimated by long-term historical data to measure the investment risk implied in the market. We reformulate the online portfolio selection model with long-short term forecasting as a linear programming problem. Numerical experiments in various data sets examine the superior out-of-sample performance of the proposed model.

Keywords: Online portfolio selection; Long-short term forecasting; Conditional value-at-risk (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s43069-022-00169-1

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