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...
Saved in:
| Main Authors: | , , , |
|---|---|
| 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 |