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Online Portfolio Selection Toolbox

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posted on 2014-01-01, 00:00 authored by LI Bin, Doyen SAHOO, Steven HOI

OLPS is an open-source toolbox for On-Line Portfolio Selection, which includes a collection of classical and state-of-the-art on-line portofolio selection strategies implemented in Matlab/Octave.

Related Publication: Li, B., & Hoi, S. C. (2014). Online portfolio selection: A survey. ACM Computing Surveys, 46(3), 35.