Sharpe W. Capital asset prices: A theory of market equilibrium under conditions of risk[J]. Journal of Finance, 1964, 19 (3): 425-442.
[2]
Li Bin, Zhao Peilin, Hoi S C, et al. PAMR: Passive aggressive mean reversion strategy for portfolio selection[J]. Machine Learning, 2012, 87(2):221 -258.
[3]
Cover T M. Universal Portfolios[J]. Mathematical Finance, 1991, 1(1):1-29.
[4]
Lintner J.The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets[J]. Review of Economics and Statistics, 1965, 47 (1): 13-37.
[5]
Singer Y. Switching Portfolios[J]. International Journal of Neural Systems, 1997, 8(4):488-495.
[6]
Helmbold D P, Schapire R E, Singer Y, et al. On-line portfolio selection using multiplicative updates[J]. Mathematical Finance, 1998, 8(4):325-347.
[7]
Blum A, Kalai A. Universal portfolios with and without transaction Costs[J]. Machine Learning, 1999, 35(3):193-205.