Cost-Sensitive Online Window Size Selection for Portfolio Management

arXiv:2609.29887 · math.OC, cs.LG, q-fin.PM · Submitted 2026-09-24 · Read on arXiv

math.OC, cs.LG, q-fin.PM

Submitted: 2026-09-24

Updated: 2026-09-28

Terminology

• Regret — 69× in this paper · explained in 3 episodes
• Aggregation — 20× in this paper · explained in 1 episode
• Benchmark — 11× in this paper · explained in 2 episodes
• Adaptation — 4× in this paper · explained in 1 episode
• Loss Function — 4× in this paper · explained in 2 episodes
• Consistency — 3× in this paper · explained in 3 episodes
• Dow Jones Industrial Average — 2× in this paper
• International Conference on Machine Learning — 2× in this paper
• Passive Aggressive Mean Reversion — 2× in this paper
• Exponential Gradient — 1× in this paper
• Generative AI — 1× in this paper · explained in 2 episodes
• Objective Function — 1× in this paper · explained in 2 episodes

Sources

• Online Learning: A Modern Introduction Using Convex Optimization

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