8 search results - page 1 / 2 » Universal switching portfolios under transaction costs |
ICASSP
2011
IEEE
12 years 8 months ago
2011
IEEE
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...
ICASSP
2008
IEEE
13 years 11 months ago
2008
IEEE
In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...
COLT
1997
Springer
13 years 9 months ago
1997
Springer
FS
2006
13 years 4 months ago
2006
We prove a general version of the super-replication theorem, which applies to Kabanov's model of foreign exchange markets under proportional transaction costs. The market is ...
PDIS
1994
IEEE
13 years 9 months ago
1994
IEEE
Constructing scalable high-performance applications on commodity hardware running the Unix operating system is a problem that must be addressed in several application domains. We ...