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Growth Optimal Investment with Transaction Costs
10 references·2 citing·42 second hop
Growth Optimal Investment with Transaction Costs (2008)Growth Optimal Investment with Transactio…Prediction, Learning, and Games (2006)Prediction, Learning, and Gam…NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES (2006)NONPARAMETRIC KERNEL‐BASED SE…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryDynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility (2001)Dynamic Optimization of Long‐…Growth optimal investment in horse race markets with costs (2000)Growth optimal investment in …Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees (1988)A Diffusion Model for Optimal…Algorithmic trading for online portfolio selection under limited market liquidity (2020)Algorithmic trading for onlin…Gaussian Weighting Reversion Strategy for Accurate Online Portfolio Selection (2019)Gaussian Weighting Reversion …Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Dynamic Asset Pricing Theory. (1993)Atlas models of equity markets (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic Portfolio Theory: an Overview (2009)Deep Learning for Portfolio Optimization (2020)A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)Finite-time Analysis of the Multiarmed Bandit Problem (2002)Online Learning and Online Convex Optimization (2011)Online Learning and Online Convex Optimization (2012)Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems (2012)Theory of games and economic behavior (2019)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Optimal Investment with Costly Reversibility (1996)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal trading strategy and supply/demand dynamics (2012)The Pricing of Options and Corporate Liabilities (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)On an Investment-Consumption Model with Transaction Costs (1996)Portfolio optimisation with strictly positive transaction costs and impulse control (1998)Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2005)Criteria for Choice Among Risky Ventures (1959)Universal Portfolios (1991)On‐Line Portfolio Selection Using Multiplicative Updates (1998)CORN (2011)Moving average reversion strategy for on-line portfolio selection (2015)Robust Median Reversion Strategy for Online Portfolio Selection (2016)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Controlled Markov Processes and Viscosity Solutions (2005)Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance (2011)Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs (2012)Online Portfolio Selection: A Survey (2012)Universal portfolios with side information (1996)Do Markets Favor Agents able to Make Accurate Predictions? (2000)The numéraire portfolio in semimartingale financial models (2007)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)Machine Learning for Financial Engineering (2011)Relative arbitrage in volatility-stabilized markets (2005)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)
this work references cited by second hop

References

  • 2006Prediction, Learning, and Games3,176 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 2002Stochastic Portfolio Theory184 cited
  • 1988A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees182 cited
  • 2006NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES150 cited
  • 2001Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility86 cited
  • 2000Growth optimal investment in horse race markets with costs29 cited

Cited by

  • 2019Gaussian Weighting Reversion Strategy for Accurate Online Portfolio Selection28 cited
  • 2020Algorithmic trading for online portfolio selection under limited market liquidity25 cited

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