Performance analysis of log-optimal portfolio strategies with transaction costs

DOI10.1080/14697688.2011.570368zbMath1284.91527OpenAlexW3124104836MaRDI QIDQ2871412

Mihály Ormos, András Urbán

Publication date: 23 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.570368

zbMATH Keywords

performance evaluationportfolio optimizationtransaction costsmulti-factor modelsagent based modellinglearning in financial models

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Transaction cost optimization for online portfolio selection

Cites Work

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• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Portfolio selection with transactions costs
• Growth Optimal Investment with Transaction Costs
• An Intertemporal Capital Asset Pricing Model
• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
• An asymptotic analysis of the mean-variance portfolio selection
• Common risk factors in the returns on stocks and bonds
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Nonparametric nearest neighbor based empirical portfolio selection strategies

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