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

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