Timezone: »
In practice, most investing is done assuming a probabilistic model of stock price returns known as the Geometric Brownian Motion (GBM). While it is often an acceptable approximation, the GBM model is not always valid empirically. This motivates a worst-case approach to investing, called universal portfolio management, where the objective is to maximize wealth relative to the wealth earned by the best fixed portfolio in hindsight. In this paper we tie the two approaches, and design an investment strategy which is universal in the worst-case, and yet capable of exploiting the mostly valid GBM model. Our method is based on new and improved regret bounds for online convex optimization with exp-concave loss functions.
Author Information
Elad Hazan (Princeton University and Google Brain)
Satyen Kale (Google)
Related Events (a corresponding poster, oral, or spotlight)
-
2009 Poster: On Stochastic and Worst-case Models for Investing »
Thu. Dec 10th 03:00 -- 07:59 AM Room
More from the Same Authors
-
2022 Poster: Reproducibility in Optimization: Theoretical Framework and Limits »
Kwangjun Ahn · Prateek Jain · Ziwei Ji · Satyen Kale · Praneeth Netrapalli · Gil I Shamir -
2022 Poster: From Gradient Flow on Population Loss to Learning with Stochastic Gradient Descent »
Christopher De Sa · Satyen Kale · Jason Lee · Ayush Sekhari · Karthik Sridharan -
2021 Poster: SGD: The Role of Implicit Regularization, Batch-size and Multiple-epochs »
Ayush Sekhari · Karthik Sridharan · Satyen Kale -
2021 Poster: Online Control of Unknown Time-Varying Dynamical Systems »
Edgar Minasyan · Paula Gradu · Max Simchowitz · Elad Hazan -
2021 Poster: Learning with User-Level Privacy »
Daniel Levy · Ziteng Sun · Kareem Amin · Satyen Kale · Alex Kulesza · Mehryar Mohri · Ananda Theertha Suresh -
2021 Poster: Breaking the centralized barrier for cross-device federated learning »
Sai Praneeth Karimireddy · Martin Jaggi · Satyen Kale · Mehryar Mohri · Sashank Reddi · Sebastian Stich · Ananda Theertha Suresh -
2021 Poster: Multiclass Boosting and the Cost of Weak Learning »
Nataly Brukhim · Elad Hazan · Shay Moran · Indraneel Mukherjee · Robert Schapire -
2020 Poster: Estimating Training Data Influence by Tracing Gradient Descent »
Garima Pruthi · Frederick Liu · Satyen Kale · Mukund Sundararajan -
2020 Spotlight: Estimating Training Data Influence by Tracing Gradient Descent »
Garima Pruthi · Frederick Liu · Satyen Kale · Mukund Sundararajan -
2020 Poster: Geometric Exploration for Online Control »
Orestis Plevrakis · Elad Hazan -
2020 Poster: Non-Stochastic Control with Bandit Feedback »
Paula Gradu · John Hallman · Elad Hazan -
2020 Poster: Online Agnostic Boosting via Regret Minimization »
Nataly Brukhim · Xinyi Chen · Elad Hazan · Shay Moran -
2020 Poster: PAC-Bayes Learning Bounds for Sample-Dependent Priors »
Pranjal Awasthi · Satyen Kale · Stefani Karp · Mehryar Mohri -
2019 : Logarithmic Regret for Online Control »
Naman Agarwal · Elad Hazan · Karan Singh -
2019 : Poster and Coffee Break 1 »
Aaron Sidford · Aditya Mahajan · Alejandro Ribeiro · Alex Lewandowski · Ali H Sayed · Ambuj Tewari · Angelika Steger · Anima Anandkumar · Asier Mujika · Hilbert J Kappen · Bolei Zhou · Byron Boots · Chelsea Finn · Chen-Yu Wei · Chi Jin · Ching-An Cheng · Christina Yu · Clement Gehring · Craig Boutilier · Dahua Lin · Daniel McNamee · Daniel Russo · David Brandfonbrener · Denny Zhou · Devesh Jha · Diego Romeres · Doina Precup · Dominik Thalmeier · Eduard Gorbunov · Elad Hazan · Elena Smirnova · Elvis Dohmatob · Emma Brunskill · Enrique Munoz de Cote · Ethan Waldie · Florian Meier · Florian Schaefer · Ge Liu · Gergely Neu · Haim Kaplan · Hao Sun · Hengshuai Yao · Jalaj Bhandari · James A Preiss · Jayakumar Subramanian · Jiajin Li · Jieping Ye · Jimmy Smith · Joan Bas Serrano · Joan Bruna · John Langford · Jonathan Lee · Jose A. Arjona-Medina · Kaiqing Zhang · Karan Singh · Yuping Luo · Zafarali Ahmed · Zaiwei Chen · Zhaoran Wang · Zhizhong Li · Zhuoran Yang · Ziping Xu · Ziyang Tang · Yi Mao · David Brandfonbrener · Shirli Di-Castro · Riashat Islam · Zuyue Fu · Abhishek Naik · Saurabh Kumar · Benjamin Petit · Angeliki Kamoutsi · Simone Totaro · Arvind Raghunathan · Rui Wu · Donghwan Lee · Dongsheng Ding · Alec Koppel · Hao Sun · Christian Tjandraatmadja · Mahdi Karami · Jincheng Mei · Chenjun Xiao · Junfeng Wen · Zichen Zhang · Ross Goroshin · Mohammad Pezeshki · Jiaqi Zhai · Philip Amortila · Shuo Huang · Mariya Vasileva · El houcine Bergou · Adel Ahmadyan · Haoran Sun · Sheng Zhang · Lukas Gruber · Yuanhao Wang · Tetiana Parshakova -
2019 Poster: Breaking the Glass Ceiling for Embedding-Based Classifiers for Large Output Spaces »
Chuan Guo · Ali Mousavi · Xiang Wu · Daniel Holtmann-Rice · Satyen Kale · Sashank Reddi · Sanjiv Kumar -
2019 Poster: Private Learning Implies Online Learning: An Efficient Reduction »
Alon Gonen · Elad Hazan · Shay Moran -
2019 Spotlight: Private Learning Implies Online Learning: An Efficient Reduction »
Alon Gonen · Elad Hazan · Shay Moran -
2019 Poster: Hypothesis Set Stability and Generalization »
Dylan Foster · Spencer Greenberg · Satyen Kale · Haipeng Luo · Mehryar Mohri · Karthik Sridharan -
2019 Poster: Logarithmic Regret for Online Control »
Naman Agarwal · Elad Hazan · Karan Singh -
2019 Oral: Logarithmic Regret for Online Control »
Naman Agarwal · Elad Hazan · Karan Singh -
2018 Poster: Online Improper Learning with an Approximation Oracle »
Elad Hazan · Wei Hu · Yuanzhi Li · Zhiyuan Li -
2018 Poster: Online Learning of Quantum States »
Scott Aaronson · Xinyi Chen · Elad Hazan · Satyen Kale · Ashwin Nayak -
2018 Poster: Adaptive Methods for Nonconvex Optimization »
Manzil Zaheer · Sashank Reddi · Devendra S Sachan · Satyen Kale · Sanjiv Kumar -
2018 Poster: Spectral Filtering for General Linear Dynamical Systems »
Elad Hazan · Holden Lee · Karan Singh · Cyril Zhang · Yi Zhang -
2018 Oral: Spectral Filtering for General Linear Dynamical Systems »
Elad Hazan · Holden Lee · Karan Singh · Cyril Zhang · Yi Zhang -
2017 Poster: Parameter-Free Online Learning via Model Selection »
Dylan J Foster · Satyen Kale · Mehryar Mohri · Karthik Sridharan -
2017 Poster: Linear Convergence of a Frank-Wolfe Type Algorithm over Trace-Norm Balls »
Zeyuan Allen-Zhu · Elad Hazan · Wei Hu · Yuanzhi Li -
2017 Poster: Learning Linear Dynamical Systems via Spectral Filtering »
Elad Hazan · Karan Singh · Cyril Zhang -
2017 Spotlight: Online Learning of Linear Dynamical Systems »
Elad Hazan · Karan Singh · Cyril Zhang -
2017 Spotlight: Parameter-Free Online Learning via Model Selection »
Dylan J Foster · Satyen Kale · Mehryar Mohri · Karthik Sridharan -
2017 Spotlight: Linear Convergence of a Frank-Wolfe Type Algorithm over Trace-Norm Balls »
Zeyuan Allen-Zhu · Elad Hazan · Wei Hu · Yuanzhi Li -
2016 Poster: Optimal Black-Box Reductions Between Optimization Objectives »
Zeyuan Allen-Zhu · Elad Hazan -
2016 Poster: Hardness of Online Sleeping Combinatorial Optimization Problems »
Satyen Kale · Chansoo Lee · David Pal -
2016 Poster: A Non-generative Framework and Convex Relaxations for Unsupervised Learning »
Elad Hazan · Tengyu Ma -
2016 Poster: The Limits of Learning with Missing Data »
Brian Bullins · Elad Hazan · Tomer Koren -
2015 : Discussion Panel »
Tim van Erven · Wouter Koolen · Peter Grünwald · Shai Ben-David · Dylan Foster · Satyen Kale · Gergely Neu -
2015 : Optimal and Adaptive Algorithms for Online Boosting »
Satyen Kale -
2015 Poster: Online Learning for Adversaries with Memory: Price of Past Mistakes »
Oren Anava · Elad Hazan · Shie Mannor -
2015 Poster: Beyond Convexity: Stochastic Quasi-Convex Optimization »
Elad Hazan · Kfir Y. Levy · Shai Shalev-Shwartz -
2015 Poster: Online Gradient Boosting »
Alina Beygelzimer · Elad Hazan · Satyen Kale · Haipeng Luo -
2014 Workshop: NIPS Workshop on Transactional Machine Learning and E-Commerce »
David Parkes · David H Wolpert · Jennifer Wortman Vaughan · Jacob D Abernethy · Amos Storkey · Mark Reid · Ping Jin · Nihar Bhadresh Shah · Mehryar Mohri · Luis E Ortiz · Robin Hanson · Aaron Roth · Satyen Kale · Sebastien Lahaie -
2013 Workshop: Large Scale Matrix Analysis and Inference »
Reza Zadeh · Gunnar Carlsson · Michael Mahoney · Manfred K. Warmuth · Wouter M Koolen · Nati Srebro · Satyen Kale · Malik Magdon-Ismail · Ashish Goel · Matei A Zaharia · David Woodruff · Ioannis Koutis · Benjamin Recht -
2013 Poster: Adaptive Market Making via Online Learning »
Jacob D Abernethy · Satyen Kale -
2013 Oral: Adaptive Market Making via Online Learning »
Jacob D Abernethy · Satyen Kale -
2011 Poster: Newtron: an Efficient Bandit algorithm for Online Multiclass Prediction »
Elad Hazan · Satyen Kale -
2010 Poster: Non-Stochastic Bandit Slate Problems »
Satyen Kale · Lev Reyzin · Robert E Schapire -
2009 Poster: An Efficient Interior-Point Method for Minimum-Regret Learning in Online Convex Optimization »
Elad Hazan · Nimrod Megiddo -
2009 Spotlight: An Efficient Interior-Point Method for Minimum-Regret Learning in Online Convex Optimization »
Elad Hazan · Nimrod Megiddo -
2009 Poster: Beyond Convexity: Online Submodular Minimization »
Elad Hazan · Satyen Kale -
2007 Oral: Adaptive Online Gradient Descent »
Peter Bartlett · Elad Hazan · Sasha Rakhlin -
2007 Poster: Adaptive Online Gradient Descent »
Peter Bartlett · Elad Hazan · Sasha Rakhlin -
2007 Poster: Computational Equivalence of Fixed Points and No Regret Algorithms, and Convergence to Equilibria »
Elad Hazan · Satyen Kale