WHU Scholar Has Published A Monograph on Quantitative Investments

    LI Bin, an associate professor at the Economics and Management School of Wuhan University, has published a monograph titled Online Portfolio Selection: Principles and Algorithms by CRC press.

    Recently, the development of computer science has provided new research tools and methodologies for quantitative investments. This book systematically studied the portfolio selection problem via computational techniques. It provides the most comprehensive literature survey on this topic, including both principles and algorithms. Then, the authors propose four portfolio trading algorithms based on machine learning, and develop a full-functioning back-test system to evaluate the efficiency of trading strategies. To show the performance of the proposed strategies, this book also back-tests these strategies using real market data. The performance further enhances the confidence of adopting these strategies in real trading. This book contains 15 chapters, or 5 parts, including research problem, principles, algorithms, empirical studies, and future directions. The book can be used to guide the research and practice of quantitative investment strategies.