Cost-Sensitive Online Window Size Selection for Portfolio Management
TL;DR
A two-level framework that constructs portfolios using candidate window sizes and dynamically aggregates them through online learning is proposed and finite-horizon cost-sensitive tracking-regret bounds are derived that account for turnover of the aggregated portfolio, with static regret as a special case.
Abstract
This paper investigates cost-sensitive online window size selection for portfolio management under changing market conditions. Specifically, we propose a two-level framework that constructs portfolios using candidate window sizes and dynamically aggregates them through online learning. By treating candidate window sizes as ``experts,''we dynamically update their aggregation weights using turnover-inclusive losses. Moreover, we derive finite-horizon cost-sensitive tracking-regret bounds that account for turnover of the aggregated portfolio, with static regret as a special case. Under bounded losses and cost rates, suitably tuned Fixed Share achieves asymptotically no tracking regret for sublinear switching budgets, with Hedge covering the static case.
