<?xml version="1.0" encoding="utf-8"?>
<TEI xmlns="http://www.tei-c.org/ns/1.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:hal="http://hal.archives-ouvertes.fr/" xmlns:gml="http://www.opengis.net/gml/3.3/" xmlns:gmlce="http://www.opengis.net/gml/3.3/ce" version="1.1" xsi:schemaLocation="http://www.tei-c.org/ns/1.0 http://api.archives-ouvertes.fr/documents/aofr-sword.xsd">
  <teiHeader>
    <fileDesc>
      <titleStmt>
        <title>HAL TEI export of hal-02925350</title>
      </titleStmt>
      <publicationStmt>
        <distributor>CCSD</distributor>
        <availability status="restricted">
          <licence target="https://creativecommons.org/publicdomain/zero/1.0/">CC0 1.0 - Universal</licence>
        </availability>
        <date when="2026-05-25T02:34:48+02:00"/>
      </publicationStmt>
      <sourceDesc>
        <p part="N">HAL API Platform</p>
      </sourceDesc>
    </fileDesc>
  </teiHeader>
  <text>
    <body>
      <listBibl>
        <biblFull>
          <titleStmt>
            <title xml:lang="en">Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices</title>
            <author role="crp">
              <persName>
                <forename type="first">Pascal</forename>
                <surname>Schroeder</surname>
              </persName>
              <email type="md5">79e17481ffc7850aeadb5ff513d5818d</email>
              <email type="domain">univ-lorraine.fr</email>
              <idno type="idhal" notation="numeric">1076157</idno>
              <idno type="halauthorid" notation="string">2016605-1076157</idno>
              <affiliation ref="#struct-234725"/>
            </author>
            <author role="aut">
              <persName>
                <forename type="first">Imed</forename>
                <surname>Kacem</surname>
              </persName>
              <email type="md5">3e9ce0023e50f0967cc322f40f6f5de0</email>
              <email type="domain">univ-lorraine.fr</email>
              <idno type="idhal" notation="string">imed-kacem</idno>
              <idno type="idhal" notation="numeric">8452</idno>
              <idno type="halauthorid" notation="string">14224-8452</idno>
              <idno type="ORCID">https://orcid.org/0000-0001-6649-7257</idno>
              <idno type="IDREF">https://www.idref.fr/070471096</idno>
              <idno type="ORCID">https://orcid.org/0000-0001-8365-3004</idno>
              <affiliation ref="#struct-234725"/>
            </author>
            <author role="aut">
              <persName>
                <forename type="first">Günter</forename>
                <surname>Schmidt</surname>
              </persName>
              <idno type="halauthorid">1362525-0</idno>
              <affiliation ref="#struct-234715"/>
            </author>
            <editor role="depositor">
              <persName>
                <forename>EDP</forename>
                <surname>Sciences</surname>
              </persName>
              <email type="md5">a8edc67f6f599e9bc00bdb3da3a82e3c</email>
              <email type="domain">edpsciences.org</email>
            </editor>
          </titleStmt>
          <editionStmt>
            <edition n="v1" type="current">
              <date type="whenSubmitted">2020-08-29 11:49:03</date>
              <date type="whenModified">2025-11-04 11:57:45</date>
              <date type="whenReleased">2020-09-01 09:58:57</date>
              <date type="whenProduced">2019-04</date>
              <date type="whenEndEmbargoed">2020-08-29</date>
              <ref type="file" target="https://hal.science/hal-02925350v1/document">
                <date notBefore="2020-08-29"/>
              </ref>
              <ref type="file" subtype="publisherPaid" n="1" target="https://hal.science/hal-02925350v1/file/ro180201.pdf" id="file-2925350-2576758">
                <date notBefore="2020-08-29"/>
              </ref>
              <ref type="externalLink" target="https://www.rairo-ro.org/articles/ro/pdf/2019/02/ro180201.pdf"/>
            </edition>
            <respStmt>
              <resp>contributor</resp>
              <name key="301560">
                <persName>
                  <forename>EDP</forename>
                  <surname>Sciences</surname>
                </persName>
                <email type="md5">a8edc67f6f599e9bc00bdb3da3a82e3c</email>
                <email type="domain">edpsciences.org</email>
              </name>
            </respStmt>
          </editionStmt>
          <publicationStmt>
            <distributor>CCSD</distributor>
            <idno type="halId">hal-02925350</idno>
            <idno type="halUri">https://hal.science/hal-02925350</idno>
            <idno type="halBibtex">schroeder:hal-02925350</idno>
            <idno type="halRefHtml">&lt;i&gt;RAIRO - Operations Research&lt;/i&gt;, 2019, 53 (2), pp.559-576. &lt;a target="_blank" href="https://dx.doi.org/10.1051/ro/2018064"&gt;&amp;#x27E8;10.1051/ro/2018064&amp;#x27E9;&lt;/a&gt;</idno>
            <idno type="halRef">RAIRO - Operations Research, 2019, 53 (2), pp.559-576. &amp;#x27E8;10.1051/ro/2018064&amp;#x27E9;</idno>
            <availability status="restricted">
              <licence target="https://about.hal.science/hal-authorisation-v1/">HAL Authorization<ref corresp="#file-2925350-2576758"/></licence>
            </availability>
          </publicationStmt>
          <seriesStmt>
            <idno type="stamp" n="UNIV-LORRAINE">Université de Lorraine</idno>
            <idno type="stamp" n="LCOMS-UL">LCOMS</idno>
            <idno type="stamp" n="AM2I-UL">Pôle scientifique Automatique, Mathématiques, Informatique et leurs Intéractions de l'Université de Lorraine</idno>
          </seriesStmt>
          <notesStmt>
            <note type="audience" n="2">International</note>
            <note type="popular" n="0">No</note>
            <note type="peer" n="1">Yes</note>
          </notesStmt>
          <sourceDesc>
            <biblStruct>
              <analytic>
                <title xml:lang="en">Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices</title>
                <author role="crp">
                  <persName>
                    <forename type="first">Pascal</forename>
                    <surname>Schroeder</surname>
                  </persName>
                  <email type="md5">79e17481ffc7850aeadb5ff513d5818d</email>
                  <email type="domain">univ-lorraine.fr</email>
                  <idno type="idhal" notation="numeric">1076157</idno>
                  <idno type="halauthorid" notation="string">2016605-1076157</idno>
                  <affiliation ref="#struct-234725"/>
                </author>
                <author role="aut">
                  <persName>
                    <forename type="first">Imed</forename>
                    <surname>Kacem</surname>
                  </persName>
                  <email type="md5">3e9ce0023e50f0967cc322f40f6f5de0</email>
                  <email type="domain">univ-lorraine.fr</email>
                  <idno type="idhal" notation="string">imed-kacem</idno>
                  <idno type="idhal" notation="numeric">8452</idno>
                  <idno type="halauthorid" notation="string">14224-8452</idno>
                  <idno type="ORCID">https://orcid.org/0000-0001-6649-7257</idno>
                  <idno type="IDREF">https://www.idref.fr/070471096</idno>
                  <idno type="ORCID">https://orcid.org/0000-0001-8365-3004</idno>
                  <affiliation ref="#struct-234725"/>
                </author>
                <author role="aut">
                  <persName>
                    <forename type="first">Günter</forename>
                    <surname>Schmidt</surname>
                  </persName>
                  <idno type="halauthorid">1362525-0</idno>
                  <affiliation ref="#struct-234715"/>
                </author>
              </analytic>
              <monogr>
                <idno type="halJournalId" status="VALID">17628</idno>
                <idno type="issn">0399-0559</idno>
                <idno type="eissn">1290-3868</idno>
                <title level="j">RAIRO - Operations Research</title>
                <imprint>
                  <publisher>EDP Sciences</publisher>
                  <biblScope unit="volume">53</biblScope>
                  <biblScope unit="issue">2</biblScope>
                  <biblScope unit="pp">559-576</biblScope>
                  <date type="datePub">2019-04</date>
                  <date type="dateEpub">2019-06-05</date>
                </imprint>
              </monogr>
              <idno type="doi">10.1051/ro/2018064</idno>
            </biblStruct>
          </sourceDesc>
          <profileDesc>
            <langUsage>
              <language ident="en">English</language>
            </langUsage>
            <textClass>
              <keywords scheme="author">
                <term xml:lang="en">bi-directional search</term>
                <term xml:lang="en">online algorithms</term>
                <term xml:lang="en">two-way trading</term>
                <term xml:lang="en">portfolio selection</term>
                <term xml:lang="en">Competitive analysis</term>
              </keywords>
              <classCode scheme="halDomain" n="math">Mathematics [math]</classCode>
              <classCode scheme="halTypology" n="ART">Journal articles</classCode>
              <classCode scheme="halOldTypology" n="ART">Journal articles</classCode>
              <classCode scheme="halTreeTypology" n="ART">Journal articles</classCode>
            </textClass>
            <abstract xml:lang="en">
              <p>In this work we investigate the portfolio selection problem (P1) and bi-directional trading (P2) when prices are interrelated. Zhang et al. (J. Comb. Optim. 23 (2012) 159–166) provided the algorithm UND which solves one variant of P2. We are interested in solutions which are optimal from a worst-case perspective. For P1, we prove the worst-case input sequence and derive the algorithm optimal portfolio for interrelated prices (OPIP). We then prove the competitive ratio and optimality. We use the idea of OPIP to solve P2 and derive the algorithm called optimal conversion for interrelated prices (OCIP). Using OCIP, we also design optimal online algorithms for bi-directional search (P3) called bi-directional UND (BUND) and optimal online search for unknown relative price bounds (RUN). We run numerical experiments and conclude that OPIP and OCIP perform well compared to other algorithms even if prices do not behave adverse.</p>
            </abstract>
          </profileDesc>
        </biblFull>
      </listBibl>
    </body>
    <back>
      <listOrg type="structures">
        <org type="laboratory" xml:id="struct-234725" status="VALID">
          <idno type="IdRef">179233335</idno>
          <idno type="RNSR">201320864B</idno>
          <idno type="IdUnivLorraine">[UL]RSJ--</idno>
          <idno type="ROR">https://ror.org/04x6jg419</idno>
          <orgName>Laboratoire de Conception, Optimisation et Modélisation des Systèmes</orgName>
          <orgName type="acronym">LCOMS</orgName>
          <date type="start">2013-01-01</date>
          <desc>
            <address>
              <addrLine>LCOMS EA7306, Université de Lorraine, Metz 57000, France</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://lcoms.univ-lorraine.fr/</ref>
          </desc>
          <listRelation>
            <relation name="UR7306" active="#struct-413289" type="direct"/>
          </listRelation>
        </org>
        <org type="institution" xml:id="struct-234715" status="VALID">
          <idno type="ROR">https://ror.org/01w19ak89</idno>
          <orgName>Max Planck Institute for Informatics [Saarbrücken]</orgName>
          <desc>
            <address>
              <addrLine>Campus 4, 66123 Saarbrücken</addrLine>
              <country key="DE"/>
            </address>
            <ref type="url">https://www.mpi-inf.mpg.de/home/</ref>
          </desc>
        </org>
        <org type="institution" xml:id="struct-413289" status="VALID">
          <idno type="IdRef">157040569</idno>
          <idno type="IdUnivLorraine">[UL]100--</idno>
          <idno type="ROR">https://ror.org/04vfs2w97</idno>
          <orgName>Université de Lorraine</orgName>
          <orgName type="acronym">UL</orgName>
          <date type="start">2012-01-01</date>
          <desc>
            <address>
              <addrLine>34 cours Léopold - CS 25233 - 54052 Nancy cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.univ-lorraine.fr/</ref>
          </desc>
        </org>
      </listOrg>
    </back>
  </text>
</TEI>