DocumentCode
1551593
Title
Empirical Portfolio Selection Strategies With Proportional Transaction Costs
Author
Györfi, László ; Walk, Harro
Author_Institution
Dept. of Comput. Sci. & Inf. Theor., Budapest Univ. of Technol. & Econ., Budapest, Hungary
Volume
58
Issue
10
fYear
2012
Firstpage
6320
Lastpage
6331
Abstract
Discrete time growth optimal investment in stock markets with proportional transactions costs is considered. The market process is modeled by a first-order Markov process. Not assuming that the distribution of the market process is known, we show empirical investment strategies such that, in the long run, the growth rate on trajectories achieves the maximum with probability 1.
Keywords
Markov processes; investment; stock markets; transaction processing; Markov process; discrete time growth optimal investment; empirical portfolio selection strategy; proportional transaction cost; stock markets; Equations; Investments; Kernel; Markov processes; Mathematical model; Portfolios; Vectors; Dynamic optimization; log-optimal investment; portfolio selection; proportional transaction cost;
fLanguage
English
Journal_Title
Information Theory, IEEE Transactions on
Publisher
ieee
ISSN
0018-9448
Type
jour
DOI
10.1109/TIT.2012.2205131
Filename
6230655
Link To Document