Empirical Portfolio Selection Strategies With Proportional Transaction Costs

DOI10.1109/TIT.2012.2205131zbMATH Open1366.91138MaRDI QIDQ2989730FDOQ2989730

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)

• Log-optimal portfolio-selection strategies with proportional transaction costs
• 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
• Competitive Portfolio Selection Using Stochastic Predictions
• Online portfolio selection
• The Impact of Proportional Transaction Costs on Systematically Generated Portfolios

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