Online portfolio selection
Online portfolio selection
is an algorithm-based
trading strategy that seeks to optimise investment returns.
It was first implemented in 2012 by Bin Li and Bin Hoi at Wuhan University
.
OPS is contrasted with more traditional approaches to portfolio optimization:
while mean-variance optimization seeks to balance risk and return, OPS specifically aims to maximize cumulative wealth, drawing on the Kelly approach to maximizing long-term expected value.
Here, OPS sequentially allocates capital among a group of assets, employing, as appropriate, one of several portfolio selection strategies:
- Follow the leader
- Follow the loser
- Fuzzy approach
- Risk assessment
- Follow either winner or loser
- Pattern recognition based