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Empirical Portfolio Selection Strategies With Proportional Transaction Costs

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2 Author(s)
László Gyorfi ; Department of Computer Science and Information Theory, Budapest University of Technology and Economics, Budapest, Hungary ; Harro Walk

Discrete time growth optimal investment in stock markets with proportional transactions costs is considered. The market process is modeled by a first-order Markov process. Not assuming that the distribution of the market process is known, we show empirical investment strategies such that, in the long run, the growth rate on trajectories achieves the maximum with probability 1.

Published in:

IEEE Transactions on Information Theory  (Volume:58 ,  Issue: 10 )