Semi-universal portfolios with transaction costs

• Main Authors: HUANG, Dingjiang, ZHU, Yan, LI, Bin, ZHOU, Shuigeng, HOI, Steven C. H.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Online portfolios; Artificial intelligence; Financial markets; Learning systems; Computer Sciences; Databases and Information Systems; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/sis_research/2931; https://ink.library.smu.edu.sg/context/sis_research/article/3931/viewcontent/IJCAI15_032.pdf
• Institution: Singapore Management University

Online portfolio selection (PS) has been extensively studied in artificial intelligence and machine learning communities in recent years. An important practical issue of online PS is transaction cost, which is unavoidable and nontrivial in real financial trading markets. Most existing strategies, su...