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Growth Optimal Investment with Transaction Costs · Study

WorkGrowth Optimal Investment with Transaction Costs

László Györfi2008

Work2008

Growth Optimal Investment with Transaction Costs

László Györfi · István Vajda

26 citations·0/0 files stored·Lecture notes in computer science

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2006Prediction, Learning, and Games 1990Portfolio Selection with Transaction Costs 1994Optimal Investment and Consumption with Transaction Costs 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment 2002Stochastic Portfolio Theory 2002Stochastic Portfolio Theory 1988A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees 2006NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES

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2019Gaussian Weighting Reversion Strategy for Accurate Online Portfolio Selection 2020Algorithmic trading for online portfolio selection under limited market liquidity

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2011Machine Learning for Financial Engineeringbook · 8 shared references 2005UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTSarticle · 6 shared references 2012Online Portfolio Selection: A Surveypreprint · 5 shared references 2007SIMULATION‐BASED PORTFOLIO OPTIMIZATION FOR LARGE PORTFOLIOS WITH TRANSACTION COSTSarticle · 4 shared references 2012Transaction Costs, Trading Volume, and the Liquidity Premiumpreprint · 4 shared references 2000Growth optimal investment in horse race markets with costsarticle · 4 shared references

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Year2008

Typeother

Published2008-01-01

VenueLecture notes in computer science

ISSN-L0302-9743

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-87987-9_13

openalex_workW1515598477

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