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http://bura.brunel.ac.uk/handle/2438/1643Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Gashi, B | - |
| dc.contributor.author | Date, P | - |
| dc.coverage.spatial | 6 | en |
| dc.date.accessioned | 2008-02-14T15:23:04Z | - |
| dc.date.available | 2008-02-14T15:23:04Z | - |
| dc.date.issued | 2005 | - |
| dc.identifier.citation | 44th IEEE Conference on Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05, 12-15 December 2005 | en |
| dc.identifier.isbn | 0-7803-9567-0 | - |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/1643 | - |
| dc.description.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. | en |
| dc.format.extent | 207552 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | IEEE | en |
| dc.subject | Log-optimal portfolio | en |
| dc.subject | Optimal control | en |
| dc.title | Optimal portfolio control with trading strategies of finite variation | en |
| dc.type | Conference Paper | en |
| Appears in Collections: | Publications Dept of Mathematics Research Papers Mathematical Sciences | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 01582877.pdf | 235.4 kB | Adobe PDF | View/Open |
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