Reversion strategy for online portfolio selection with transaction costs.

Xingyu Yang Huaping Li Yong Zhang Jin'an He

Published in: Int. J. Appl. Decis. Sci. (2018)

Keyphrases

portfolio selection
transaction costs
search costs
portfolio management
portfolio optimization
multiple objectives
financial markets
multi objective
robust optimization
objective function
optimal portfolio
case based reasoning
optimization problems
linear programming