Universal semiconstant rebalanced portfolios
From MaRDI portal
Publication:3084601
DOI10.1111/J.1467-9965.2010.00430.XzbMATH Open1214.91100OpenAlexW1932396968MaRDI QIDQ3084601FDOQ3084601
Authors: Suleyman S. Kozat, Andrew C. Singer 
Publication date: 25 March 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00430.x
Recommendations
Cites Work
- Portfolio Selection with Transaction Costs
- The cost of achieving the best portfolio in hindsight
- On‐Line Portfolio Selection Using Multiplicative Updates
- Title not available (Why is that?)
- Coding for a binary independent piecewise-identically-distributed source
- Low-complexity sequential lossless coding for piecewise-stationary memoryless sources
- Universal Switching Linear Least Squares Prediction
Cited In (11)
- Universal portfolios with side information
- Online portfolio selection: a survey
- Constant rebalanced portfolios and side-information
- Amortized constant relaxed rebalancing using standard rotations
- FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
- Universal portfolios with and without transaction costs.
- When to efficiently rebalance a portfolio
- The cost of achieving the best portfolio in hindsight
- Efficient Universal Portfolios for Past‐Dependent Target Classes
- Algorithmic trading for online portfolio selection under limited market liquidity
- Universal portfolios generated by Toeplitz matrices
This page was built for publication: Universal semiconstant rebalanced portfolios
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3084601)
