FOCS
2000
IEEE
14 years 7 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'...
ICASSP
2008
IEEE
14 years 10 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 ...