Browsing by Keywords "Financial data processing"
Now showing items 1-4 of 4
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Delegated portfolio management under ambiguity aversion
(2014)We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity-robust portfolio choices with respect to estimation errors in expected returns. Adopting a ... -
Growth optimal investment with threshold rebalancing portfolios under transaction costs
(IEEE, 2013)We study how to invest optimally in a stock market having a finite number of assets from a signal processing perspective. In particular, we introduce a portfolio selection algorithm that maximizes the expected cumulative ... -
Optimal investment under transaction costs: A threshold rebalanced portfolio approach
(IEEE, 2013)We study how to invest optimally in a financial market having a finite number of assets from a signal processing perspective. Specifically, we investigate how an investor should distribute capital over these assets and ... -
Optimal univariate expectations under high and persistent inflation: new evidence from Turkey
(Elsevier BV, 2005)The poor performance of sticky-price models with rational expectations in explaining the inflationary inertia in the US economy constitutes the basis for sticky-price models of near-rational expectations in the recent ...
