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31
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ICASSP
2008
IEEE
138
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Signal Processing
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ICASSP 2008
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Universal switching portfolios under transaction costs
14 years 5 months ago
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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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