Empirical Portfolio Selection Strategies With Proportional Transaction Costs

DOI10.1109/TIT.2012.2205131MaRDI QIDQ2989730zbMATHFDO

Authors László Györfi, Harro Walk

Publication date 8 June 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Dynamic programming (90C39) Portfolio theory (91G10)

Cited in

(6)

• Conditional Lie-Bäcklund symmetry reductions and exact solutions of a class of reaction-diffusion equations
• Penalty methods for continuous-time portfolio selection with proportional transaction costs
• Log-optimal portfolio-selection strategies with proportional transaction costs
• Competitive portfolio selection using stochastic predictions
• The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
• Online portfolio selection: a survey

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