Learning zero-cost portfolio selection with pattern matching
Fig 10
JSE intraday data running times.
Running time of the portfolios in seconds of the different strategies. This demonstrates the speed advantage of using the analytic quadratic approximation as compared to numerically solving the log-optimal constrained optimization at each time-step for each expert combination. As expected the fully invested analytic solution is fastest, the zero-cost portfolio next, because of the additional leverage constraint, and the slowest the algorithm that required the numerical solution of the optimization.