{"type":"ScholarlyArticle","title":"Portfolio Choices with Orthogonal Bandit Learning","authors":[{"name":"Weiwei Shen","slug":"weiwei-shen","given":"Weiwei","family":"Shen","affiliation":""},{"name":"Jun Wang","slug":"jun-wang-2","given":"Jun","family":"Wang","affiliation":""},{"name":"Yu-Gang Jiang","slug":"yu-gang-jiang","given":"Yu-Gang","family":"Jiang","affiliation":""},{"name":"Hongyuan Zha","slug":"hongyuan-zha","given":"Hongyuan","family":"Zha","affiliation":""}],"abstract":"The investigation and development of new methods from diverse perspectives to shed light on portfolio choice problems has never stagnated in financial research. Recently, multi-armed bandits have drawn intensive attention in various machine learning applications in online settings. The tradeoff between exploration and exploitation to maximize rewards in bandit algorithms naturally establishes a connection to portfolio choice problems. In this paper, we present a bandit algorithm for conducting online portfolio choices by effectually exploiting correlations among multiple arms. Through constructing orthogonal portfolios from multiple assets and integrating with the upper confidence bound bandit framework, we derive the optimal portfolio strategy that represents the combination of passive and active investments according to a risk-adjusted reward function. Compared with oft-quoted trading strategies in finance and machine learning fields across representative real-world market datasets, the proposed algorithm demonstrates superiority in both risk-adjusted return and cumulative wealth.","doi":null,"url":"https://ijcai.org/proceedings/2015/142","pdf":"https://ijcai.org/proceedings/2015/0142.pdf","markdown":"https://ijcai.org/proceedings/2015/142.md","bibtex":"https://ijcai.org/proceedings/2015/bibtex/142","volume":{"slug":"2015","title":"Proceedings of the Twenty-Fourth International Joint Conference on Artificial Intelligence","short_title":"IJCAI 2015","url":"https://ijcai.org/proceedings/2015/","year":2015,"location":"Buenos Aires, Argentina","dates":"25–31 July 2015","editors":"Qiang Yang and Michael Wooldridge","isbn":"978-1-57735-738-4","publisher":"International Joint Conferences on Artificial Intelligence","doi_prefix":""},"section":"Machine Learning","track":"Main Track","number":142,"pages":{"first":974,"last":-1},"keywords":[],"videos":[],"references":[],"license_note":"Copyright International Joint Conferences on Artificial Intelligence."}