Growth-optimal portfolios under transaction costs
نویسندگان
چکیده
منابع مشابه
Optimal Rebalancing of Portfolios with Transaction Costs
Rebalancing of portfolios with a concave utility function is considered. It is proved that transaction costs imply that there is a no-trade region where it is optimal not to trade. For proportional transaction costs it is optimal to rebalance to the boundary when outside the no-trade region. With flat transaction costs, the rebalance from outside the no-trade region should be to an internal sta...
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Online portfolio selection (PS) has been extensively studied in artificial intelligence and machine learning communities in recent years. An important practical issue of online PS is transaction cost, which is unavoidable and nontrivial in real financial trading markets. Most existing strategies, such as universal portfolio (UP) based strategies, often rebalance their target portfolio vectors a...
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 2008
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am35-1-1