Robert Dochow mathematically derives a simplified classification structure of selected types of
the portfolio selection problem. He proposes two new competitive online algorithms with risk
management which he evaluates analytically. The author empirically evaluates online algorithms
by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms
show the most promising performance when the objective is the maximization of return on
investment and risk-adjusted performance. In addition when the objective is the minimization
of risk the two new algorithms with risk management show excellent performance. A prototype of
a software tool for automated evaluation of algorithms for portfolio selection is given.
