Given the task definition and input, reply with output. In this task, you are given a part of an article. Your task is to generate headline (title) for this text. Preferred headlines are under fifteen words.

We consider online learning of ensembles of portfolio selection algorithms and aim to regularize risk by encouraging diversification with respect to a predefined risk-driven grouping of stocks. Our procedure uses online convex optimization to control capital allocation to underlying investment algorithms while encouraging non-sparsity over the given grouping. We prove a logarithmic regret for this procedure with respect to the best-in-hindsight ensemble. We applied the procedure with known mean-reversion portfolio selection algorithms using the standard GICS industry sector grouping. Empirical Experimental results showed an impressive percentage increase of risk-adjusted return (Sharpe ratio).
Online Learning of Portfolio Ensembles with Sector Exposure Regularization