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On-line portfolio selection strategy with prediction in the presence of transaction costs.
Sergio Albeverio
Lan-Jun Lao
Xue-Lei Zhao
Published in:
Math. Methods Oper. Res. (2001)
Keyphrases
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transaction costs
selection strategy
selection strategies
portfolio management
search costs
selection algorithm
stock exchange
portfolio selection
fitness function
financial time series
cauchy mutation
data mining
classification accuracy
genetic programming
stock market