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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/1643

Title: Optimal portfolio control with trading strategies of finite variation
Authors: Gashi, B
Date, P
Keywords: Log-optimal portfolio
Optimal control
Publication Date: 2005
Publisher: IEEE
Citation: 44th IEEE Conference on Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05, 12-15 December 2005
Abstract: We propose a method for portfolio selection where the trading strategies are constrained to have a finite variation. A simulation example shows a significant reduction in trasaction costs as compared to log-optimal portfolio, for almost same final wealth.
URI: http://bura.brunel.ac.uk/handle/2438/1643
ISBN: 0-7803-9567-0
Appears in Collections:School of Information Systems, Computing and Mathematics Research Papers
Mathematical Science
Computer Science

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