Doubly elastic net regularized online portfolio optimization with transaction costs

Price information

We should consider price forecasting method to achieve the data-driven ideology, which can lessen the influence by irrational factors^32,33,34 in the market. Specifically, we formulate the expected return by price forecasting method based on historical information.

PAMR³⁵ and CWMR¹² showed that the predicted relative price in next period is inversely to the current period: \(\mathbf {x_{t+1}}=\frac{1}{\mathbf {x_t}}\), which utilized the properties of single-period mean reversion to balance risk and return. Besides, OLMAR³ exploited muti-period mean reversion to solve the…