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Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework.
Chung-Han Hsieh
John A. Gubner
B. Ross Barmish
Published in:
CDC (2018)
Keyphrases
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theoretic framework
information theoretic
optimal control
dynamic programming
binary search trees
spectral graph
control system
stock market
transaction costs
neural network
control policy
machine learning
optimal solution
control strategy
search tree
optimal strategy