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
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;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.2012.2205131
