Growth Optimal Investment with Transaction Costs

DOI10.1007/978-3-540-87987-9_13zbMath1156.91372OpenAlexW1515598477MaRDI QIDQ3529914

László Györfi, István Vajda

Publication date: 14 October 2008

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-87987-9_13

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (6)

On long-term arbitrage opportunities in Markovian models of financial markets ⋮ Algorithmic trading for online portfolio selection under limited market liquidity ⋮ PAMR: passive aggressive mean reversion strategy for portfolio selection ⋮ Online portfolio selection ⋮ Aggregating expert advice strategy for online portfolio selection with side information ⋮ Performance analysis of log-optimal portfolio strategies with transaction costs

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• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Prediction, Learning, and Games
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES
• Portfolio Selection with Transaction Costs

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