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UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS
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UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS (2005)UNIVERSAL INVESTMENT IN MARKETS WITH TRAN…Stochastic 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‐…The Cost of Achieving the Best Portfolio in Hindsight (1998)The Cost of Achieving the Bes…Universal portfolios with and without transaction costs (1997)Universal portfolios with and…Universal portfolios with side information (1996)Universal portfolios with sid…On an Investment-Consumption Model with Transaction Costs (1996)On an Investment-Consumption …Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Universal Portfolios (1991)Universal PortfoliosA Nonstandard Approach to Option Pricing (1991)A Nonstandard Approach to Opt…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…Weighted Moving Average Passive Aggressive Algorithm for Online Portfolio Selection (2013)Weighted Moving Average Passi…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)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)Portfolio optimisation with strictly positive transaction costs and impulse control (1998)Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2005)Theory of Rational Option Pricing (1973)Internal Regret in On-Line Portfolio Selection (2005)Theory of rational option pricing (2005)Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets (2008)Extracting certainty from uncertainty: regret bounded by variation in costs (2010)Exponentiated Gradient versus Gradient Descent for Linear Predictors (1997)On‐Line Portfolio Selection Using Multiplicative Updates (1998)Efficient algorithms for universal portfolios (2002)Online Markov Decision Processes (2009)Moving average reversion strategy for on-line portfolio selection (2015)Asymptotic analysis for optimal investment and consumption with transaction costs (2004)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)An analog of the minimax theorem for vector payoffs (1956)Contributions to the theory of games. (1960)A Game of Prediction with Expert Advice (1998)Relative Loss Bounds for On-Line Density Estimation with the Exponential Family of Distributions (2001)Can We Learn to Beat the Best Stock (2004)Portfolio Selection (1952)A Simplified Model for Portfolio Analysis (1963)Essays in the Theory of Risk-Bearing. (1972)Adaptive Game Playing Using Multiplicative Weights (1999)Efficient algorithms for online decision problems (2004)Robust Dynamic Programming (2005)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)
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References

  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1991Universal Portfolios581 cited
  • 1996Universal portfolios with side information349 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 1988A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees182 cited
  • 1996On an Investment-Consumption Model with Transaction Costs180 cited
  • 1997Universal portfolios with and without transaction costs151 cited
  • 1991A Nonstandard Approach to Option Pricing97 cited
  • 1998The Cost of Achieving the Best Portfolio in Hindsight91 cited
  • 2001Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility86 cited

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  • 2013Weighted Moving Average Passive Aggressive Algorithm for Online Portfolio Selection45 cited

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