PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Growth optimal portfolio selection strategies with transaction costs
Laszlo Gyorfi and István Vajda
In: 19th International Conference on Algorithmic Learning Theory, ALT 2008, Proceedings Lecture Notes in Computer Science/Lecture Notes in Artificial Intelligence , 5254 . (2008) Springer-Verlag , Berlin, Heidelberg, Germany , pp. 108-122. ISBN 978-3-540-87986-2


Discrete time infinite horizon growth optimal investment in stock markets with transaction costs is considered. The stock processes are modelled by homogeneous Markov processes. Assuming that the distribution of the market process is known, we show two recursive investment strategies such that, in the long run, the growth rate on trajectories (in "liminf" sense) is greater than or equal to the growth rate of any other investment strategy with probability 1.

PDF - PASCAL Members only - Requires Adobe Acrobat Reader or other PDF viewer.
EPrint Type:Book Section
Additional Information:(Budapest, Hungary, Oct 13-16, 2008.)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:4980
Deposited By:Laszlo Gyorfi
Deposited On:18 March 2009