I recently read Online Portfolio Selection: A Survey by Li & Hoi. I rarely hear OPS talked about in the quantitative finance community, aside from different types of mean-variance optimization. So I have two questions:

  1. Why is Online Portfolio Selection / Capital Growth Theory rarely discussed in quant finance? Is there some fundamental drawback or flaw in the theory?

  2. What is the state of the art in OPS/CGT? What are the seminal papers?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.