Empirical Portfolio Selection Strategies With Proportional Transaction Costs

Empirical Portfolio Selection Strategies With Proportional Transaction Costs

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 lon...

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Veröffentlicht in:IEEE transactions on information theory 2012-10, Vol.58 (10), p.6320-6331
Hauptverfasser: Gyorfi, L., Walk, H.
Format: Artikel
Sprache:eng
Schlagworte:
Applied sciences
Costs
Dynamic optimization
Empirical analysis
Equations
Exact sciences and technology
Information theory
Information, signal and communications theory
Investment
Investments
Kernel
log-optimal investment
Markets
Markov analysis
Markov processes
Mathematical model
Optimization
portfolio selection
Portfolios
Probability distribution
proportional transaction cost
Raw materials
Securities markets
Strategy
Telecommunications and information theory
Vectors
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Beschreibung
Zusammenfassung: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.
ISSN:0018-9448
1557-9654
DOI:10.1109/TIT.2012.2205131