Adaptive online mean-variance portfolio selection with transaction costs

DOI10.1080/14697688.2023.2287134MaRDI QIDQ6127407

Jia-Wen Gu, Sini Guo, Wai-Ki Ching, Unnamed Author

Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

quadratic programmingmean-variance modelonline portfolio selectionadaptive moving average methodpeer impact

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

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