Universal switching portfolios under transaction costs

ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings

Volumn , Issue , 2008, Pages 5404-5407

  Kozat, Suleyman S ^a   Singer, Andrew C ^b  

^a KOÇ UNIVERSITY   (Turkey)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

Adaptive signal processing; Bayesian learning; Portfolio selection

Indexed keywords

ACOUSTICS; BOOLEAN FUNCTIONS; INVESTMENTS; PLANNING; SIGNAL PROCESSING; SPEECH; STRATEGIC PLANNING; VECTORS;

ADAPTIVE SIGNAL PROCESSING; BAYESIAN LEARNING; PORTFOLIO SELECTION; PRICE RELATIVE VECTORS;

SEQUENTIAL SWITCHING;

EID: 51449110622     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.2008.4518882     Document Type: Conference Paper

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