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...
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Main Authors: | , , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2018
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Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/sis_research/3777 https://ink.library.smu.edu.sg/context/sis_research/article/4779/viewcontent/Transaction_cost_optimization_for_online_portfolio_selection.pdf |
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Institution: | Singapore Management University |
Language: | English |