{"id":"https://openalex.org/W4410590382","doi":"https://doi.org/10.1287/moor.2023.0175","title":"Efficient and Near-Optimal Online Portfolio Selection","display_name":"Efficient and Near-Optimal Online Portfolio Selection","publication_year":2025,"publication_date":"2025-05-22","ids":{"openalex":"https://openalex.org/W4410590382","doi":"https://doi.org/10.1287/moor.2023.0175"},"language":"en","primary_location":{"id":"doi:10.1287/moor.2023.0175","is_oa":false,"landing_page_url":"https://doi.org/10.1287/moor.2023.0175","pdf_url":null,"source":{"id":"https://openalex.org/S55826652","display_name":"Mathematics of Operations Research","issn_l":"0364-765X","issn":["0364-765X","1526-5471"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematics of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-03787674","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5001593980","display_name":"R\u00e9mi J\u00e9z\u00e9quel","orcid":null},"institutions":[{"id":"https://openalex.org/I29607241","display_name":"\u00c9cole Normale Sup\u00e9rieure - PSL","ror":"https://ror.org/05a0dhs15","country_code":"FR","type":"other","lineage":["https://openalex.org/I2746051580","https://openalex.org/I29607241"]},{"id":"https://openalex.org/I4210161954","display_name":"D\u00e9partement d'Informatique","ror":"https://ror.org/05y6rqs46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I2746051580","https://openalex.org/I29607241","https://openalex.org/I4210159245","https://openalex.org/I4210161954"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"R\u00e9mi J\u00e9z\u00e9quel","raw_affiliation_strings":["Inria & D\u00e9partement d\u2019Informatique de l\u2019\u00c9cole Normale Sup\u00e9rieure, 75230 Paris, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Inria & D\u00e9partement d\u2019Informatique de l\u2019\u00c9cole Normale Sup\u00e9rieure, 75230 Paris, France","institution_ids":["https://openalex.org/I29607241","https://openalex.org/I4210161954"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5062817750","display_name":"Dmitrii M. Ostrovskii","orcid":"https://orcid.org/0000-0003-0812-5249"},"institutions":[{"id":"https://openalex.org/I130701444","display_name":"Georgia Institute of Technology","ror":"https://ror.org/01zkghx44","country_code":"US","type":"education","lineage":["https://openalex.org/I130701444"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dmitrii Ostrovskii","raw_affiliation_strings":["Georgia Institute of Technology, School of Mathematics & H. Milton Stewart School of Industrial and Systems Engineering, Atlanta, Georgia 30332"],"raw_orcid":"https://orcid.org/0000-0003-0812-5249","affiliations":[{"raw_affiliation_string":"Georgia Institute of Technology, School of Mathematics & H. Milton Stewart School of Industrial and Systems Engineering, Atlanta, Georgia 30332","institution_ids":["https://openalex.org/I130701444"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5117632873","display_name":"Pierre Gaillard","orcid":"https://orcid.org/0000-0001-6777-6127"},"institutions":[{"id":"https://openalex.org/I106785703","display_name":"Institut polytechnique de Grenoble","ror":"https://ror.org/05sbt2524","country_code":"FR","type":"education","lineage":["https://openalex.org/I106785703","https://openalex.org/I899635006"]},{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I4210101348","display_name":"Centre Inria de l'Universit\u00e9 Grenoble Alpes","ror":"https://ror.org/00n8d6z93","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1326498283","https://openalex.org/I4210101348"]},{"id":"https://openalex.org/I4210149092","display_name":"Laboratoire Jean Kuntzmann","ror":"https://ror.org/04ett5b41","country_code":"FR","type":"facility","lineage":["https://openalex.org/I106785703","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I4210149092","https://openalex.org/I899635006","https://openalex.org/I899635006"]},{"id":"https://openalex.org/I899635006","display_name":"Universit\u00e9 Grenoble Alpes","ror":"https://ror.org/02rx3b187","country_code":"FR","type":"education","lineage":["https://openalex.org/I899635006"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Pierre Gaillard","raw_affiliation_strings":["University of Grenoble Alpes, Inria, CNRS, Grenoble INP, Laboratoire Jean Kuntzmann, 38000 Grenoble, France"],"raw_orcid":"https://orcid.org/0000-0001-6777-6127","affiliations":[{"raw_affiliation_string":"University of Grenoble Alpes, Inria, CNRS, Grenoble INP, Laboratoire Jean Kuntzmann, 38000 Grenoble, France","institution_ids":["https://openalex.org/I4210149092","https://openalex.org/I4210101348","https://openalex.org/I1294671590","https://openalex.org/I106785703","https://openalex.org/I899635006"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":8,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.11676135,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"51","issue":"2","first_page":"1350","last_page":"1384"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":1.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":1.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12288","display_name":"Optimization and Search Problems","score":0.995199978351593,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12072","display_name":"Machine Learning and Algorithms","score":0.9898999929428101,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.6674667596817017},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6485826373100281},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5682545900344849},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5092083215713501},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.44217705726623535},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4109894335269928},{"id":"https://openalex.org/keywords/operations-research","display_name":"Operations research","score":0.32437795400619507},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.28274691104888916},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.24766084551811218},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.19798478484153748},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.10835728049278259}],"concepts":[{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.6674667596817017},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6485826373100281},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5682545900344849},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5092083215713501},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.44217705726623535},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4109894335269928},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.32437795400619507},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.28274691104888916},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.24766084551811218},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.19798478484153748},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.10835728049278259}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1287/moor.2023.0175","is_oa":false,"landing_page_url":"https://doi.org/10.1287/moor.2023.0175","pdf_url":null,"source":{"id":"https://openalex.org/S55826652","display_name":"Mathematics of Operations Research","issn_l":"0364-765X","issn":["0364-765X","1526-5471"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematics of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-03787674v1","is_oa":true,"landing_page_url":"https://hal.science/hal-03787674","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Mathematics of Operations Research, 2025, ⟨10.1287/moor.2023.0175⟩","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-03787674v1","is_oa":true,"landing_page_url":"https://hal.science/hal-03787674","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Mathematics of Operations Research, 2025, ⟨10.1287/moor.2023.0175⟩","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W197022872","https://openalex.org/W1491418069","https://openalex.org/W1570963478","https://openalex.org/W1579743691","https://openalex.org/W1632601927","https://openalex.org/W1964964840","https://openalex.org/W1965726897","https://openalex.org/W1981914220","https://openalex.org/W2032063221","https://openalex.org/W2034489173","https://openalex.org/W2042456949","https://openalex.org/W2057978375","https://openalex.org/W2069317438","https://openalex.org/W2073957440","https://openalex.org/W2105516453","https://openalex.org/W2120499560","https://openalex.org/W2127152800","https://openalex.org/W2129160848","https://openalex.org/W2163786683","https://openalex.org/W2210370393","https://openalex.org/W2963813262","https://openalex.org/W3015581296","https://openalex.org/W3100088952","https://openalex.org/W3102055739","https://openalex.org/W3105953504","https://openalex.org/W3106017925","https://openalex.org/W3120817348","https://openalex.org/W3141595720","https://openalex.org/W4205841652","https://openalex.org/W4229828127","https://openalex.org/W4237883889","https://openalex.org/W4250589301","https://openalex.org/W4301435544","https://openalex.org/W4312258136"],"related_works":["https://openalex.org/W2363364691","https://openalex.org/W4399301521","https://openalex.org/W1986311305","https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W2068727170","https://openalex.org/W4206877017","https://openalex.org/W4225528185"],"abstract_inverted_index":{"In":[0],"the":[1,19,23,37,41,57,78,129,144,180,186,191,196,200,232],"problem":[2],"of":[3,31,39,63,157,170,188,195,211],"online":[4,138,212],"portfolio":[5,65,139,178,213],"selection":[6,140,214],"as":[7,54,56,148],"formulated":[8],"by":[9,199,231],"Cover":[10,44],"[Cover":[11],"TM":[12],"(1991)":[13],"Universal":[14],"portfolios.":[15],"Math.":[16],"Finance":[17],"1(1):1\u201329],":[18],"trader":[20],"repeatedly":[21],"distributes":[22],"trader\u2019s":[24],"capital":[25],"over":[26],"d":[27],"assets":[28],"in":[29,115,120,219],"each":[30],"T":[32],">":[33],"1":[34],"rounds":[35],"with":[36,66,161,185,215],"goal":[38],"maximizing":[40],"total":[42],"return.":[43],"proposed":[45],"an":[46,67,135],"algorithm,":[47],"termed":[48],"\u201cuniversal":[49],"portfolios,\u201d":[50],"that":[51,141],"performs":[52],"nearly":[53],"well":[55],"best":[58],"(in":[59],"hindsight)":[60],"static":[61],"assignment":[62],"a":[64,107,121,152,166],"[Formula:":[68,123,158,162,171],"see":[69,124,159,163,172],"text]":[70,125,160,173],"logarithmic":[71,182],"regret.":[72],"Without":[73],"imposing":[74],"any":[75,116],"restrictions":[76],"on":[77,105],"market,":[79],"this":[80,118],"guarantee":[81,147],"is":[82],"known":[83,131],"to":[84,151],"be":[85,113],"worst":[86],"case":[87],"optimal,":[88],"and":[89,155,223,236,239],"no":[90],"other":[91],"algorithm":[92,102,136],"attaining":[93],"it":[94],"has":[95,165],"been":[96],"discovered":[97],"so":[98],"far.":[99],"Unfortunately,":[100],"Cover\u2019s":[101],"crucially":[103],"relies":[104],"computing":[106],"certain":[108],"d-dimensional":[109],"integral,":[110],"which":[111],"must":[112],"approximated":[114],"implementation;":[117],"results":[119],"prohibitive":[122],"per-round":[126],"runtime":[127,169],"for":[128,137,234],"fastest":[130],"implementation.":[132],"We":[133],"propose":[134],"satisfies":[142],"essentially":[143],"same":[145],"regret":[146],"universal":[149],"portfolios\u2014up":[150],"constant":[153],"factor":[154],"replacement":[156],"text]\u2014yet":[164],"drastically":[167],"reduced":[168],"per":[174],"round.":[175],"The":[176],"selected":[177],"minimizes":[179],"observed":[181],"loss":[183],"regularized":[184],"log-determinant":[187],"its":[189],"Hessian\u2014equivalently,":[190],"hybrid":[192],"logarithmic-volumetric":[193],"barrier":[194],"polytope":[197],"specified":[198],"asset":[201],"return":[202],"vectors.":[203],"As":[204],"such,":[205],"our":[206],"work":[207,228],"reveals":[208],"surprising":[209],"connections":[210],"two":[216],"classic":[217],"topics":[218],"optimization":[220],"theory:":[221],"cutting-plane":[222],"interior-point":[224],"algorithms.":[225],"Funding:":[226],"This":[227],"was":[229],"supported":[230],"Directorate":[233],"Computer":[235],"Information":[237],"Science":[238],"Engineering":[240],"[Grant":[241],"CIF-1908905].":[242]},"counts_by_year":[],"updated_date":"2026-07-02T09:51:11.867554","created_date":"2025-10-10T00:00:00"}