Transaction cost optimization for online portfolio selection

DOI10.1080/14697688.2017.1357831MaRDI QIDQ4554503zbMATH OpenOpenAlexFDO

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

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

investment strategylearning in financial modelsportfolio optimizationtransaction costs

Mathematics Subject Classification ID

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

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Cites work

• 10.1162/153244303321897672
• Analysis of Kelly-optimal portfolios
• Automated trading with boosting and expert weighting
• Distributed optimization and statistical learning via the alternating direction method of multipliers
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• scientific article; zbMATH DE number 5960587 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 5589676 (Why is no real title available?)
• scientific article; zbMATH DE number 2243362 (Why is no real title available?)
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Nonparametric nearest neighbor based empirical portfolio selection strategies
• On-line portfolio selection strategy with prediction in the presence of transaction costs
• Online portfolio selection: a survey
• On‐Line Portfolio Selection Using Multiplicative Updates
• Optimization with sparsity-inducing penalties
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Performance analysis of log-optimal portfolio strategies with transaction costs
• Products of trees for investment analysis
• Robust and adaptive algorithms for online portfolio selection
• Universal Portfolios

Cited in

(15)

• Adaptive online portfolio strategy based on exponential gradient updates
• Universal portfolio selection strategy by aggregating online expert advice
• Adaptive online portfolio selection with transaction costs
• Second-order online portfolio selection strategy with transaction costs
• Online Portfolio Optimization with Risk Control
• Adaptive moment estimation for universal portfolio selection strategy
• Adaptive online mean-variance portfolio selection with transaction costs
• Online portfolio selection with state-dependent price estimators and transaction costs
• Distributed mean reversion online portfolio strategy with stock network
• WaveCorr: deep reinforcement learning with permutation invariant convolutional policy networks for portfolio management
• Risk-adjusted exponential gradient strategies for online portfolio selection
• Spatial-temporal stock movement prediction and portfolio selection based on the semantic company relationship graph
• Adaptive robust online portfolio selection
• Network-based online portfolio selection with ESG scores
• Aggregating expert advice strategy for online portfolio selection with side information

Describes a project that uses

Uses Software

• PAMR
• CORN

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