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Prediction Strategies without Loss

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Is it possible to invest in the stock market in a way that you never lose money and gain when the stock market goes up a lot? (wont that be nice.)

We show that this may not be entirely impossible. In fact it is pretty much possible at least in a theoretical sense. Under some simplifying assumptions we show that there is an investment strategy that doesn’t lose much if the market falls and gains some if the market gains while giving up some of the gains. The assumption we make is that the per day change is bounded say at most 1%. While the 1% bound may not be always true in practice it is indeed not more than a few multiples in most days.

We will also look at how these algorithms do in practice. http://arxiv4.library.cornell.edu/abs/1008.3672 (NIPS 2012)

This talk is part of the Microsoft Research Machine Learning and Perception Seminars series.

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