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Found 7 papers, 0 papers with code
Robust Trading in a Generalized Lattice Market
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market.
On Adaptive Portfolio Management with Dynamic Black-Litterman Approach
This paper introduces a unified framework for adaptive portfolio management, integrating dynamic Black-Litterman (BL) optimization with the general factor model, Elastic Net regression, and mean-variance portfolio optimization, which allows us to generate investors' views and mitigate potential estimation errors systematically.
On Frequency-Based Optimal Portfolio with Transaction Costs
The aim of this paper is to investigate the impact of rebalancing frequency and transaction costs on the log-optimal portfolio, which is a portfolio that maximizes the expected logarithmic growth rate of an investor's wealth.
On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach
In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem.
On Robust Optimal Linear Feedback Stock Trading
That is, the expected cumulative trading gain-loss function is guaranteed to be positive for a broad class of stock price processes.
On Asymptotic Log-Optimal Buy-and-Hold Strategy
To be more specific, we show that if a market contains a dominant asset, buy and hold a market portfolio involving nonzero weights for each asset is asymptotically log-optimal.
Generalization of Affine Feedback Stock Trading Results to Include Stop-Loss Orders
The takeoff point of this paper is to generalize the existing stock trading results for a class of affine feedback controller to include consideration of a stop-loss order.
Optimization and Control Systems and Control Systems and Control Mathematical Finance Risk Management 93E03, 91B02, 91B70
