The exponential gradient portfolio trading strategy, developed by David P. Helmbold and his colleagues, is a technique aimed at optimizing investment portfolios using online learning principles. The strategy is formulated within an online learning framework, where the goal is to make a sequence of decisions (portfolio allocations) based on evolving market information. The portfolio weights are updated in an exponential manner based on the observed returns of the assets. The updates incorporate a gradient descent approach, which adjusts the portfolio in the direction that optimizes performance (e.g., minimizes regret or maximizes returns).
