Online portfolio selection with state-dependent price estimators and transaction costs

DOI10.1016/J.EJOR.2023.05.001MaRDI QIDQ6168616zbMATH OpenFDO

Authors Sini Guo, Jia-Wen Gu, Christopher H. Fok, Wai-Ki Ching

Publication date 11 July 2023

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2023.05.001

zbMATH Keywords

market statesonline portfolio selectionrisk paritytransaction coststransaction remainder factor

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

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Cited in

(6)

• Second-order online portfolio selection strategy with transaction costs
• Dynamic mode decomposition for online portfolio selection task
• Online portfolio selection strategy with side information based on learning with expert advice
• Investment-consumption optimization with transaction cost and learning about return predictability
• Aggregating weight transfer online portfolio strategy based on investors' attention
• Network-based online portfolio selection with ESG scores

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