Second-order online portfolio selection strategy with transaction costs

DOI10.3969/J.ISSN.1000-5641.2019.04.008zbMATH Open1449.91128OpenAlexW2992431456MaRDI QIDQ5209484FDOQ5209484

Authors: Jingjing Qu, Shunchang Yu, Ding-jiang Huang 

Publication date: 22 January 2020

Full work available at URL: https://xblk.ecnu.edu.cn/EN/10.3969/j.issn.1000-5641.2019.04.008

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zbMATH Keywords

portfolio selectiontransaction costsonline Newton step

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (2)

• Transaction cost optimization for online portfolio selection
• On-line portfolio selection strategy with prediction in the presence of transaction costs

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