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dc.contributor.authorTunc, S.en_US
dc.contributor.authorDonmez, M.A.en_US
dc.contributor.authorKozat, Süleyman S.en_US
dc.coverage.spatialVancouver, BC, Canadaen_US
dc.date.accessioned2016-02-08T12:07:00Z
dc.date.available2016-02-08T12:07:00Z
dc.date.issued2013en_US
dc.identifier.urihttp://hdl.handle.net/11693/27969
dc.descriptionDate of Conference: 26-31 May 2013en_US
dc.description.abstractWe 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 wealth in i.i.d. two-asset discrete-time markets where the market levies proportional transaction costs in buying and selling stocks. This is achieved by using 'threshold rebalanced portfolios', where trading occurs only if the portfolio breaches certain thresholds. Under the assumption that the relative price sequences have log-normal distribution from the Black-Scholes model, we evaluate the expected wealth under proportional transaction costs and find the threshold rebalanced portfolio that achieves the maximal expected cumulative wealth over any investment period. © 2013 IEEE.en_US
dc.language.isoEnglishen_US
dc.source.title2013 IEEE International Conference on Acoustics, Speech and Signal Processingen_US
dc.relation.isversionofhttp://dx.doi.org/10.1109/ICASSP.2013.6639368en_US
dc.subjectcontinuous distributionen_US
dc.subjectdiscrete-time marketen_US
dc.subjectPortfolio managementen_US
dc.subjectthreshold rebalancingen_US
dc.subjecttransaction costen_US
dc.subjectBuying and selling stocksen_US
dc.subjectContinuous distributionen_US
dc.subjectLog-normal distributionen_US
dc.subjectOptimal investmentsen_US
dc.subjectPortfolio managementsen_US
dc.subjectProportional transaction costsen_US
dc.subjectRebalancingen_US
dc.subjectTransaction costen_US
dc.subjectCommerceen_US
dc.subjectCostsen_US
dc.subjectFinancial data processingen_US
dc.subjectSequential switchingen_US
dc.subjectSignal processingen_US
dc.subjectInvestmentsen_US
dc.titleGrowth optimal investment with threshold rebalancing portfolios under transaction costsen_US
dc.typeConference Paperen_US
dc.departmentDepartment of Electrical and Electronics Engineeringen_US
dc.citation.spage8717en_US
dc.citation.epage8721en_US
dc.identifier.doi10.1109/ICASSP.2013.6639368en_US
dc.publisherIEEEen_US


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