2 search results - page 1 / 1 » Factor graph switching portfolios under transaction costs |
81
Voted
ICASSP
2011
IEEE
14 years 1 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
15 years 4 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 ...