Transaction cost optimization for online portfolio selection

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...

Full description

Saved in:
Bibliographic Details
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:
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
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English