RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection

Portfolio selection is the central task for assets management, but it turns out to be very challenging. Methods based on pattern matching, particularly the CORN-K algorithm, have achieved promising performance on several stock markets. A key shortage of the existing pattern matching methods, however, is that the risk is largely ignored when optimizing portfolios, which may lead to unreliable profits, particularly in volatile markets. We present a risk-aversion CORN-K algorithm, RACORN-K, that pe...