Online Portfolio Selection with Adjustable Cash Flows

This chapter deals with online portfolio selection where flexibly adjusting capital levels is allowed. To solve this, two algorithms ACIE and ACIE2 are designed respectively. In ACIE, the capital weights and cash amount are determined in one period. In ACIE2, the optimization mechanism is conducted based on two-period lookahead. Both methods deal with nonlinear optimization issues. Empirical studies show that these two methods outperform multiple baseline strategies. In the meanwhile, this chapter demonstrates that the adjustable inflow mechanism is able to optimize risk control under constantly changing investment environments.