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Aggregating exponential gradient expert advice for online portfolio selection under transaction costs.
Yong Zhang
Jiahao Li
Xingyu Yang
Hong Lin
Published in:
J. Oper. Res. Soc. (2023)
Keyphrases
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transaction costs
portfolio selection
expert advice
search costs
portfolio management
portfolio optimization
online learning
financial markets
robust optimization
multiple objectives
stock exchange
machine learning
objective function
long term