Browsing by Keywords "Portfolio managements"
Now showing items 1-2 of 2
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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 ...
