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Growth optimal portfolios in discrete-time markets under transaction costs.

Mehmet A. DonmezSait TuncSuleyman Serdar Kozat
Published in: SPAWC (2012)
Keyphrases
  • transaction costs
  • search costs
  • portfolio management
  • information retrieval
  • optimal solution
  • portfolio selection
  • stock exchange
  • transaction cost economics
  • genetic algorithm
  • markov chain
  • optimal control