Factor graph switching portfolios under transaction costs.
Andrew J. BeanAndrew C. SingerPublished in: ICASSP (2011)
Keyphrases
- transaction costs
- factor graphs
- message passing
- graphical models
- belief propagation
- approximate inference
- latent variables
- stock exchange
- probabilistic inference
- probabilistic graphical models
- portfolio selection
- exact inference
- markov random field
- bayesian networks
- markov networks
- parameter learning
- probabilistic model
- stock market
- distributed systems
- information extraction
- model construction
- financial data
- long term
- prior knowledge