A MAML-trained network that learns mixture weights over clustered online portfolio selection policies outperforms 14 baselines on six datasets, including cross-market transfer from US to TSE and MSCI.
Fast universal- ization of investment strategies
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Meta-Learning the Optimal Mixture of Strategies for Online Portfolio Selection
A MAML-trained network that learns mixture weights over clustered online portfolio selection policies outperforms 14 baselines on six datasets, including cross-market transfer from US to TSE and MSCI.