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ICASSP
2011
IEEE

Factor graph switching portfolios under transaction costs

8 years 6 months ago
Factor graph switching portfolios under transaction costs
We consider the sequential portfolio investment problem. Building on results in signal processing, machine learning, and other areas, we use factor graphs to develop new universal portfolio algorithms for switching strategies under transaction costs. These algorithms make use of a transition diagram in order to compactly represent and compute message passing on an exponentially increasing number of factor graphs. We compare this with a previous universal switching portfolios, demonstrating typically superior performance.
Andrew J. Bean, Andrew C. Singer
Added 21 Aug 2011
Updated 21 Aug 2011
Type Journal
Year 2011
Where ICASSP
Authors Andrew J. Bean, Andrew C. Singer
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