Growth Optimal Investment with Transaction Costs
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Publication:3529914
DOI10.1007/978-3-540-87987-9_13zbMath1156.91372OpenAlexW1515598477MaRDI QIDQ3529914
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
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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