{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,5,2]],"date-time":"2025-05-02T11:56:42Z","timestamp":1746187002634},"publisher-location":"California","reference-count":0,"publisher":"International Joint Conferences on Artificial Intelligence Organization","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2020,7]]},"abstract":"<jats:p>Online portfolio selection (OLPS) is a fundamental and challenging problem in financial engineering, which faces two practical constraints during the real trading, i.e., cardinality constraint and non-zero transaction costs. In order to achieve greater feasibility in financial markets, in this paper, we propose a novel online portfolio selection method named LExp4.TCGP with theoretical guarantee of sublinear regret to address the OLPS problem with the two constraints. In addition, we incorporate side information into our method based on contextual bandit, which further improves the effectiveness of our method. Extensive experiments conducted on four representative real-world datasets demonstrate that our method significantly outperforms the state-of-the-art methods when cardinality constraint and non-zero transaction costs co-exist.<\/jats:p>","DOI":"10.24963\/ijcai.2020\/646","type":"proceedings-article","created":{"date-parts":[[2020,7,8]],"date-time":"2020-07-08T12:12:10Z","timestamp":1594210330000},"page":"4682-4689","source":"Crossref","is-referenced-by-count":5,"title":["Online Portfolio Selection with Cardinality Constraint and Transaction Costs based on Contextual Bandit"],"prefix":"10.24963","author":[{"given":"Mengying","family":"Zhu","sequence":"first","affiliation":[{"name":"College of Computer Science , Zhejiang University, Hangzhou, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xiaolin","family":"Zheng","sequence":"additional","affiliation":[{"name":"College of Computer Science , Zhejiang University, Hangzhou, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yan","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of Computing, Macqaurie University, Sydney, NSW, Australia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Qianqiao","family":"Liang","sequence":"additional","affiliation":[{"name":"College of Computer Science , Zhejiang University, Hangzhou, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Wenfang","family":"Zhang","sequence":"additional","affiliation":[{"name":"College of Computer Science , Zhejiang University, Hangzhou, China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"10584","event":{"number":"28","sponsor":["International Joint Conferences on Artificial Intelligence Organization (IJCAI)"],"acronym":"IJCAI-PRICAI-2020","name":"Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}","start":{"date-parts":[[2020,7,11]]},"theme":"Artificial Intelligence","location":"Yokohama, Japan","end":{"date-parts":[[2020,7,17]]}},"container-title":["Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence"],"original-title":[],"deposited":{"date-parts":[[2020,7,9]],"date-time":"2020-07-09T02:16:27Z","timestamp":1594260987000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ijcai.org\/proceedings\/2020\/646"}},"subtitle":[],"proceedings-subject":"Artificial Intelligence Research Articles","short-title":[],"issued":{"date-parts":[[2020,7]]},"references-count":0,"URL":"https:\/\/doi.org\/10.24963\/ijcai.2020\/646","relation":{},"subject":[],"published":{"date-parts":[[2020,7]]}}}