Transaction cost optimization for online portfolio selection

• Main Authors: LI, Bin, WANG, Jialei, HUANG, Dingjiang, HOI, Steven C. H.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Portfolio optimization; Transaction costs; Learning in financial models; Investment strategy; OS and Networks; Technology and Innovation
• Online Access: https://ink.library.smu.edu.sg/sis_research/3759; https://ink.library.smu.edu.sg/context/sis_research/article/4761/viewcontent/Transaction_cost_optimization_for_online_portfolio_selection.pdf
• Institution: Singapore Management University

To improve existing online portfolio selection strategies in the case of non-zero transaction costs, we propose a novel framework named Transaction Cost Optimization (TCO). The TCO framework incorporates the L1 norm of the difference between two consecutive allocations together with the principles o...