An asset subset-constrained minimax optimization framework for online portfolio selection

Jianfei Yin, Anyang Zhong, Xiaomian Xiao, Ruili Wang, Joshua Zhexue Huang

Abstract: Highlights•An extensible framework for integrating diversity, sparsity, and risk control.•A minimax model for risk control of loss functions constrained by asset subsets.•Construct asset subsets by price-feature clipping to reduce redundant assets.•State-based estimation of price trends to guide all loss functions.