Scalable, Efficient and Optimal Discrete-Time Rebalancing Algorithms for Log-Optimal Investment Portfolio
نویسندگان
چکیده
SCALABLE, EFFICIENT AND OPTIMAL DISCRETE-TIME REBALANCING ALGORITHMS FOR LOG-OPTIMAL INVESTMENT PORTFOLIO
منابع مشابه
Growth optimal investment in discrete-time markets with proportional transaction costs
a r t i c l e i n f o a b s t r a c t Keywords: Growth optimal portfolio Threshold rebalancing Proportional transaction cost Discrete-time stock market We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d. discrete-tim...
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