Publication:
Universal switching portfolios under transaction costs

dc.contributor.coauthorSinger, Andrew C.
dc.contributor.departmentDepartment of Electrical and Electronics Engineering
dc.contributor.kuauthorKozat, Süleyman Serdar
dc.contributor.schoolcollegeinstituteCollege of Engineering
dc.date.accessioned2024-11-10T00:07:53Z
dc.date.issued2008
dc.description.abstractIn this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio selection that asymptotically achieves the wealth of the best piecewise constant rebalanced portfolio tuned to the underlying individual sequence of price relative vectors where we pay a fixed percent commission for each transaction. Without knowledge of the investment duration, the algorithm can perform as well as the best investment algorithm that can choose both the partitioning of the sequence of the price relative vectors as well as the best constant rebalanced portfolio within each segment based on knowledge of the sequence of price relative vectors in advance. We use a transition diagram similar to that in [1] to compete with an exponential number of switching investment strategies, using only linear complexity in the data length for combination.
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.openaccessNO
dc.description.sponsoredbyTubitakEuN/A
dc.identifier.doi10.1109/ICASSP.2008.4518882
dc.identifier.isbn978-1-4244-1483-3
dc.identifier.issn1520-6149
dc.identifier.scopus2-s2.0-51449110622
dc.identifier.urihttps://doi.org/10.1109/ICASSP.2008.4518882
dc.identifier.urihttps://hdl.handle.net/20.500.14288/16862
dc.identifier.wos257456703335
dc.keywordsBayesian learning
dc.keywordsAdaptive signal processing
dc.keywordsPortfolio selection
dc.language.isoeng
dc.publisherIeee
dc.relation.ispartof2008 Ieee International Conference On Acoustics, Speech And Signal Processing, Vols 1-12
dc.subjectAcoustics
dc.subjectComputer science
dc.subjectArtificial intelligence
dc.subjectCybernetics
dc.subjectEngineering
dc.subjectBiomedical engineering
dc.subjectElectrical and electronic engineering
dc.subjectMathematical and computational biology
dc.subjectImaging science
dc.subjectPhotographic technology
dc.subjectRadiology
dc.subjectNuclear medicine
dc.subjectMedical imaging
dc.subjectTelecommunications
dc.titleUniversal switching portfolios under transaction costs
dc.typeConference Proceeding
dspace.entity.typePublication
local.contributor.kuauthorKozat, Süleyman Serdar
local.publication.orgunit1College of Engineering
local.publication.orgunit2Department of Electrical and Electronics Engineering
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relation.isOrgUnitOfPublication.latestForDiscovery21598063-a7c5-420d-91ba-0cc9b2db0ea0
relation.isParentOrgUnitOfPublication8e756b23-2d4a-4ce8-b1b3-62c794a8c164
relation.isParentOrgUnitOfPublication.latestForDiscovery8e756b23-2d4a-4ce8-b1b3-62c794a8c164

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