INTRODUCTION 145
Then the manager will rebalance to the new portfolio via buying and selling the
underlying stocks. At the end of a trading period, the market will reveal x
t
. The
resulting portfolio b
t
is scored based on portfolio period return s
t
. This procedure
is repeated until the end, and the portfolio strategy is finally scored by the portfolio
cumulative wealth S
n
.
Note that we have made several general and common nontrivial assumptions in
the above model:
1. Transaction cost: no explicit or implicit transaction costs
∗
exist.
2. Market liquidity: one can buy and sell the required amount, even fractional, at the
last close price of any given trading period.
3. Market impact: any portfolio selection strategy shall not influence the market or
any other stocks’ prices.
All the implemented strategies follow the same architecture in AlgorithmA.1, and
they are called at Line 3.
A.1.2 Installation
A.1.2.1 Supported Platforms
OLPS is based on MATLAB (both 32- and 64-bit) and Octave (except the Graph-
ical User Interface [GUI] Part); thus, it is supported on 32- and 64-bit versions of
Linux, Mac OS, and Windows. The first version of OLPS is developed and tested on
MATLAB 2009a, while the latest version of OLPS is tested on MATLAB 2013a.
A.1.2.2 Installation Instructions
Installation of the toolbox consists of two steps:
1. Retrieve the latest version of OLPS from the project website. The package can be
downloaded as either a .zip file or a .tar.gz file.
2. Unpack the package to any folder. The root directory is named “OLPS.”
Then the toolbox is available in the folder. Note that the directory structure of the
toolbox is predefined, which decides the running datasets and logs.
A.1.2.3 Folders and Paths
The toolbox consists of five folders in relative path: “/Strategy,” “/Data,” “/GUI,”
“/Log,” and “/Documentation.” The folder “/Strategy” consists of the core strategies
for online portfolios selection, which will be introduced in Section A.3. The folder
also consists of the commands used in the Command Line Interface (CLI), which will
be introduced in Section A.2.2. The folder “/Data” includes some popular datasets in
forms of .mat, which will be detailed in SectionA.1.4. The folder “/GUI” includes the
files to run the Graphical User Interface, which will be detailed in Section A.2.1. The
folder “/Log” stores the experimental details of a strategy on a dataset, which will be
∗
Explicit costs include commissions, taxes, stamp duties, and fees. Implicit costs include the bid–ask
spread, opportunity costs, and slippage costs.
T&F Cat #K23731 — K23731_A001 — page 145 — 9/28/2015 — 20:46