Before revision: Online portfolio selection is a sequential decision-making problem in financial engineering, aiming to construct a portfolio by optimizing the allocation of wealth across a set of assets to achieve the highest return .
After revision: As the cornerstone of modern portfolio theory, Markowitz's mean-variance optimization is considered a major model adopted in portfolio management. However, due to the difficulty of estimating its parameters, it cannot be applied to all periods. In some cases, naive strategies such as Equally-weighted and Value-weighted portfolios can even get better performance. Under these circumstances, we can use multiple classic strategies as multiple strategic arms in multi-armed bandit to naturally establish a connection with the portfolio selection problem. This can also help to maximize the rewards in the bandit algorithm by the trade-off between exploration and exploitation .