Transaction cost optimization for online portfolio selection

• Main Authors: LI, Bin, WANG, Jialei, HUANG, Dingjiang, HOI, Steven C. H.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2017
• 主題: Portfolio optimization; Transaction costs; Learning in financial models; Investment strategy; OS and Networks; Technology and Innovation
• 在線閱讀: 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

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...