Universal switching and side information portfolios under transaction costs using factor graphs

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

Volumn , Issue , 2010, Pages 1986-1989

  Bean, Andrew J ^a   Singer, Andrew C ^a  

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

Author keywords

Factor graph; Portfolio; Sum product; Transaction costs; Universal

Indexed keywords

COSTS;

COMPUTATIONALLY EFFICIENT; FACTOR GRAPHS; GRAPH REPRESENTATION; PERFORMANCE BOUNDS; PORTFOLIO; PORTFOLIO INVESTMENT; SIDE INFORMATION; SUM PRODUCT; TRANSACTION COST; UNIVERSAL;

INVESTMENTS;

EID: 78049360413     PISSN: 15206149     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICASSP.2010.5495255     Document Type: Conference Paper

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