Kernel-Based Aggregating Learning System for Online Portfolio Optimization

<div>CWs of KAL with respect to <i>ϵ</i> on six benchmark datasets (fix <span class="nowrap"><svg height="11.6445pt" id="M244" style="vertical-align:-3.29568pt" version="1.1" viewbox="-0.0498162 -8.34882 53.1067 11.6445" width="53.1067pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M689 332C689 394 670 448 646 448C620 448 597 421 597 396C597 386 600 381 608 372C619 359 620 334 620 315C620 150 538 45 454 45C414 45 386 67 386 122C386 138 388 158 394 180L457 426L452 432L377 416L315 156C302 100 259 45 216 45C176 45 148 67 148 122C148 133 152 158 156 180C162 212 173 259 194 332C201 357 206 384 206 405C206 430 198 448 174 448C125 448 66 406 23 342L43 319C84 368 110 383 121 383C126 383 128 382 128 377C128 370 127 359 122 343C99 268 84 204 77 156C74 137 70 111 70 104C70 25 125 -12 180 -12C228 -12 276 12 319 50C338 8 378 -12 418 -12C549 -12 689 166 689 332Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,8.931,3.132)"><path d="M810 0V30C751 35 744 40 744 106V296C744 396 694 451 614 451C583 451 558 438 537 425C512 409 485 391 454 368C434 420 390 451 342 451C309 451 285 439 260 424C228 405 206 387 185 372V453C141 434 90 421 43 413V386C102 378 105 373 105 309V106C105 41 96 35 29 30V0H243V30C194 35 185 41 185 106V335C216 360 256 389 297 389C357 389 384 348 384 275V106C384 41 374 35 312 30V0H530V30C475 35 465 41 465 104V294C465 313 464 324 463 336C502 367 539 389 576 389C637 389 663 346 663 274V109C663 41 653 35 593 30V0H810Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,16.493,3.132)"><path d="M442 39L431 68C420 63 406 57 394 57C377 57 359 71 359 118V301C359 353 349 393 314 424C291 443 261 451 230 451C171 438 107 401 79 381C59 366 46 355 46 340C46 316 72 295 91 295C106 295 117 303 122 319C131 350 139 371 152 384C163 397 178 404 197 404C246 404 281 365 281 293V278C260 262 186 232 124 213C69 194 41 161 41 112C41 47 92 -12 163 -12C195 -12 243 25 283 51C288 35 293 22 308 7C319 -4 339 -12 354 -12L442 39ZM281 87C262 68 226 51 199 51C169 51 129 74 129 126C129 162 151 181 190 198C211 208 259 229 281 240V87Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,20.579,3.132)"><path d="M482 0V30C420 38 407 48 370 103L273 248C308 299 331 332 352 357C387 397 401 404 463 409V439H277V409C318 405 324 400 307 369C290 337 270 307 251 279L194 367C175 396 180 402 220 409V439H18V409C74 401 87 395 117 349L204 213C173 168 147 130 119 95C78 46 67 38 5 30V0H195V30C144 38 143 47 162 79C181 112 202 149 225 181L297 70C314 43 307 35 264 30V0H482Z"></path></g><g transform="matrix(.013,0,0,-0.013,29.155,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,40.418,0)"><path d="M285 378C315 398 338 416 353 432C373 451 384 474 384 503C384 579 325 635 236 635H235C182 635 136 610 108 579L65 516L85 496C110 533 150 575 205 575C258 575 300 543 300 481C300 407 232 369 141 339L147 310C163 315 188 321 211 321C268 321 338 284 338 192C338 94 288 40 217 40C160 40 119 68 93 91C85 98 77 97 69 91C60 84 47 71 46 58C44 46 48 35 62 22C75 10 116 -12 162 -12C234 -12 424 62 424 224C424 297 373 359 285 376V378Z"></path></g><g transform="matrix(.013,0,0,-0.013,46.658,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g></svg>).</span> (a) NYSE(O). (b) NYSE(N). (c) DJIA. (d) SP500. (e) TSE. (f) HS300.</div>

Mathematical Problems in Engineering

fig6

Figure 6

Figure 6: Kernel-Based Aggregating Learning System for Online Portfolio Optimization 