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ALT
2010
Springer
13 years 11 months ago
Switching Investments
Wouter M. Koolen, Steven de Rooij
ICASSP
2011
IEEE
13 years 2 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...
Andrew J. Bean, Andrew C. Singer
ICASSP
2008
IEEE
14 years 5 months ago
Universal switching portfolios under transaction costs
In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...
Suleyman Serdar Kozat, Andrew C. Singer
SIAMCO
2008
81views more  SIAMCO 2008»
13 years 10 months ago
Connections between Singular Control and Optimal Switching
This paper builds a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence provides a novel method for solving ...
Xin Guo, Pascal Tomecek
CCR
2002
155views more  CCR 2002»
13 years 10 months ago
A retrospective view of ATM
ATM was the focus of active research and significant investment in the early to mid 1990's. This paper discusses several visions for ATM prevalent at the time, and analyzes h...
Charles R. Kalmanek