Transaction cost optimization for online portfolio selection

DOI10.1080/14697688.2017.1357831zbMath1400.91553OpenAlexW2746758043MaRDI QIDQ4554503

Bin Li, Ding-jiang Huang, Steven C. H. Hoi, Jialei Wang

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/sis_research/3759

zbMATH Keywords

portfolio optimizationtransaction costsinvestment strategylearning in financial models

Mathematics Subject Classification ID

Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (6)

Adaptive online portfolio strategy based on exponential gradient updates ⋮ Universal portfolio selection strategy by aggregating online expert advice ⋮ Online Portfolio Optimization with Risk Control ⋮ Adaptive moment estimation for universal portfolio selection strategy ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ Aggregating expert advice strategy for online portfolio selection with side information

Uses Software

• CORN
• PAMR

Cites Work

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• Universal Portfolios
• On‐Line Portfolio Selection Using Multiplicative Updates
• 10.1162/153244303321897672
• Online portfolio selection
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Nonparametric nearest neighbor based empirical portfolio selection strategies
• Robust and adaptive algorithms for online portfolio selection

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