89
Voted
FOCS
2000
IEEE
15 years 2 months ago
2000
IEEE
A constant rebalanced portfolio is an investment strategy that keeps the same distribution of wealth among a set of stocks from day to day. There has been much work on Cover'...
80
Voted
ICASSP
2008
IEEE
15 years 5 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 ...