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. http://dx.doi.org/10.1145/2512962