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    ICASSP
    2008
    IEEE
    138views Signal Processing» more  ICASSP 2008»
    Universal switching portfolios under transaction costs
    14 years 6 months ago
    Universal switching portfolios under transaction costs
    Download  www.icassp2008.org
    In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...
    Suleyman Serdar Kozat, Andrew C. Singer
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