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.

• Type: Journal
• Year: 2011
• Where: ICASSP
• Authors: Andrew J. Bean, Andrew C. Singer
• Keywords: Factor Graphs, ICASSP 2011, Sequential Portfolio Investment, Signal Processing, Universal Portfolio Algorithms