Empirical portfolio selection strategies with proportional transaction costs

László Gyorfi, Harro Walk

Research output: Contribution to journalArticle

4 Citations (Scopus)

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.

Original languageEnglish
Article number6230655
Pages (from-to)6320-6331
Number of pages12
JournalIEEE Transactions on Information Theory
Volume58
Issue number10
DOIs
Publication statusPublished - Sep 26 2012

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Keywords

  • Dynamic optimization
  • log-optimal investment
  • portfolio selection
  • proportional transaction cost

ASJC Scopus subject areas

  • Information Systems
  • Computer Science Applications
  • Library and Information Sciences

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