Online portfolio selection with state-dependent price estimators and transaction costs.
Sini GuoJia-Wen GuChristopher H. FokWai-Ki ChingPublished in: Eur. J. Oper. Res. (2023)
Keyphrases
- portfolio selection
- transaction costs
- state dependent
- search costs
- portfolio management
- steady state
- queueing networks
- portfolio optimization
- financial markets
- optimal policy
- robust optimization
- queue length
- multiple objectives
- stationary distribution
- single server
- markov chain
- asymptotically optimal
- learning algorithm
- short term
- metaheuristic
- stock exchange
- linear programming
- decision making