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Empirical Portfolio Selection Strategies With Proportional Transaction Costs

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2 Author(s)
Gyorfi, L. ; Dept. of Comput. Sci. & Inf. Theor., Budapest Univ. of Technol. & Econ., Budapest, Hungary ; Walk, H.

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.

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