Competitive solutions for online financial problems

This article surveys results concerning online algorihtms for solving problems related to the management of money and other assets. In particular, the survey focucus us search, replacement, and portfolio selection problems

[1]  H. W. Kuhn,et al.  11. Extensive Games and the Problem of Information , 1953 .

[2]  E. Rowland.  Theory of Games and Economic Behavior , 1946, Nature.

[3]  M. Rothschild,et al.  Increasing risk: I. A definition , 1970 .

[4]  Yoram Singer,et al.  On‐Line Portfolio Selection Using Multiplicative Updates , 1998, ICML.

[5]  Thomas M. Cover,et al.  Empirical Bayes stock market portfolios , 1986 .

[6]  David Siegmund,et al.  The theory of optimal stopping , 1991 .

[7]  D. Rosenfield,et al.  Optimal adaptive price search , 1981 .

[8]  F. Jamshidian.  Asymptotically Optimal Portfolios , 1992 .

[9]  Peter van Emde Boas.  Some Applications of the McCreight-Meyer Algorithm in Abstract Complexity Theory , 1978, Theor. Comput. Sci..

[10]  P. Freeman.  The Secretary Problem and its Extensions: A Review , 1983 .

[11]  Ran El-Yaniv,et al.  Competitive analysis of financial games , 1992, Proceedings., 33rd Annual Symposium on Foundations of Computer Science.

[12]  Robert C. Merton,et al.  On the microeconomic theory of investment under uncertainty , 1977 .

[13]  Eytan Sheshinski,et al.  Optimum Pricing Policy under Stochastic Inflation , 1983 .

[14]  Robert E. Tarjan,et al.  Amortized efficiency of list update and paging rules , 1985, CACM.

[15]  Amos Fiat,et al.  Making commitments in the face of uncertainty: how to pick a winner almost every time (extended abstract) , 1996, STOC '96.

[16]  Prabhakar Raghavan,et al.  A Statistical Adversary for On-line Algorithms , 1991, On-Line Algorithms.

[17]  Jeffrey D. Ullman,et al.  Worst-Case Performance Bounds for Simple One-Dimensional Packing Algorithms , 1974, SIAM J. Comput..

[18]  Allan Borodin,et al.  An optimal on-line algorithm for metrical task system , 1992, JACM.

[19]  Steven A. Lippman,et al.  The Economics of Job Search: A Survey: Part I , 1976 .

[20]  Ronald L. Graham,et al.  Bounds for certain multiprocessing anomalies , 1966 .

[21]  Andrew Chi-Chih Yao,et al.  New Algorithms for Bin Packing , 1978, JACM.

[22]  G. Vechkanov.  Investments , 2014, Canadian Medical Association journal.

[23]  Leonard J. Mirman.  Uncertainty and Optimal Consumption Decisions , 1971 .

[24]  Philip Wolfe,et al.  Contributions to the theory of games , 1953 .

[25]  Andrew Chou,et al.  Optimal trading strategies vs. a statistical adversary , 1994 .

[26]  Amos Fiat,et al.  On Capital Investment , 1996, ICALP.

[27]  Allan Borodin,et al.  An optimal online algorithm for metrical task systems , 1987, STOC.

[28]  Allan Borodin,et al.  On the power of randomization in online algorithms , 1990, STOC '90.

[29]  D. Blackwell.  An analog of the minimax theorem for vector payoffs. , 1956 .

[30]  Neil D. Pearson,et al.  Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case , 1991 .

[31]  Sabah al-Binali,et al.  The competitive analysis of risk taking with applications to online trading , 1997, Proceedings 38th Annual Symposium on Foundations of Computer Science.

[32]  T. Cover.  Universal Portfolios , 1996 .

[33]  S. Lippman,et al.  THE ECONOMICS OF JOB SEARCH: A SURVEY* , 1976 .

[34]  Thomas M. Cover,et al.  Elements of Information Theory , 2005 .

[35]  Leonard J. Mirman,et al.  Savings and Consumption with an Uncertain Horizon , 1977, Journal of Political Economy.

[36]  Ran El-Yaniv,et al.  Nearly Optimal Competitive Online Replacement Policies , 1997, Math. Oper. Res..

[37]  R. Bellman.  Equipment Replacement Policy , 1955 .

[38]  Erik Ordentlich,et al.  Universal portfolios with side information , 1996, IEEE Trans. Inf. Theory.

[39]  Ran El-Yaniv,et al.  The statistical adversary allows optimal money-making trading strategies , 1995, SODA '95.

[40]  S. Lippman,et al.  Chapter 6 The economics of uncertainty: Selected topics and probabilistic methods , 1981 .

[41]  A. Shilling.  Market Timing: Better Than a Buy-and-Hold Strategy , 1992 .

[42]  Nicolò Cesa-Bianchi,et al.  Gambling in a rigged casino: The adversarial multi-armed bandit problem , 1995, Proceedings of IEEE 36th Annual Foundations of Computer Science.

[43]  J. Hull.  Options, futures, and other derivative securities , 1989 .

[44]  Ran El-Yaniv,et al.  Online list accessing algorithms and their applications: recent empirical evidence , 1997, SODA '97.

[45]  Kenneth R. MacCrimmon,et al.  Taking Risks, the Management of Uncertainty , 1987 .

[46]  Sandy Irani,et al.  The Problem of Renting versus Buying , 1994 .

[47]  L. Breiman.  Optimal Gambling Systems for Favorable Games , 1962 .

[48]  David S. Johnson,et al.  Near-optimal bin packing algorithms , 1973 .

[49]  S. Hart,et al.  A simple adaptive procedure leading to correlated equilibrium , 2000 .

[50]  Colin F. Camerer,et al.  Taking Risks: The Management of Uncertainty , 1988 .

[51]  Nimrod Megiddo,et al.  Improved algorithms and analysis for secretary problems and generalizations , 1995, Proceedings of IEEE 36th Annual Foundations of Computer Science.

[52]  A. Robert,et al.  HAUGEN, . The New Finance: The Case against Efficient Markets (Englewood Prentice Hall. , 1995 .

[53]  S. Vajda,et al.  Contribution to the Theory of Games , 1951 .

[54]  Erik Ordentlich,et al.  On-line portfolio selection , 1996, COLT '96.

[55]  M. Rothschild,et al.  Increasing risk II: Its economic consequences , 1971 .