Algorithms for portfolio management based on the Newton method

Amit Agarwal, Elad Hazan, Satyen Kale, Robert E. Schapire. Algorithms for portfolio management based on the Newton method. In William W. Cohen, Andrew Moore, editors, Machine Learning, Proceedings of the Twenty-Third International Conference (ICML 2006), Pittsburgh, Pennsylvania, USA, June 25-29, 2006. Volume 148 of ACM International Conference Proceeding Series, pages 9-16, ACM, 2006. [doi]

Abstract

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