Cover's Algorithm Modified for Nonparametric Estimation of a Log-Optimal Portfolio Selection Function

IEEE Transactions on Information Theory ◽

10.1109/tit.2013.2257914 ◽

2013 ◽

Vol 59 (8) ◽

pp. 4771-4780

Author(s):

Harro Walk

Keyword(s):

Portfolio Selection ◽

Nonparametric Estimation ◽

Optimal Portfolio ◽

Selection Function ◽

Optimal Portfolio Selection

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Iterative nonparametric estimation of a log-optimal portfolio selection function

IEEE Transactions on Information Theory ◽

10.1109/18.971764 ◽

2002 ◽

Vol 48 (1) ◽

pp. 324-333 ◽

Author(s):

H. Walk ◽

S. Yakowitz

Keyword(s):

Portfolio Selection ◽

Nonparametric Estimation ◽

Optimal Portfolio ◽

Selection Function ◽

Optimal Portfolio Selection

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Optimal Portfolio Selection in Nonlinear Arbitrage Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.1617662 ◽

2010 ◽

Author(s):

Hamad Alsayed ◽

Frank McGroarty

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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A Note on Optimal Portfolio Selection and Diversification Benefits with a Short Sale Restriction on Real Estate Assets

Journal of Real Estate Research ◽

10.1080/10835547.1992.12090687 ◽

1992 ◽

Vol 7 (4) ◽

pp. 493-501 ◽

Author(s):

Tsong-Yue Lai ◽

Ko Wang ◽

Su Chan ◽

Daniel Lee

Keyword(s):

Real Estate ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection ◽

Real Estate Assets

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Optimal portfolio selection and uncertain inflation

The Journal of Portfolio Management ◽

10.3905/jpm.1986.409083 ◽

1986 ◽

Vol 13 (1) ◽

pp. 44-49 ◽

Author(s):

Son-Nan Chen ◽

Reena Aggarwal

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

International Journal of Control ◽

10.1080/00207179.2012.735373 ◽

2013 ◽

Vol 86 (3) ◽

pp. 426-437 ◽

Author(s):

Yan Zeng ◽

Zhongfei Li ◽

Huiling Wu

Keyword(s):

Portfolio Selection ◽

Cash Flow ◽

Optimal Portfolio ◽

Risky Assets ◽

Optimal Portfolio Selection

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Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses

Mathematical and Statistical Methods for Actuarial Sciences and Finance ◽

10.1007/978-3-319-50234-2_13 ◽

2017 ◽

pp. 157-169

Author(s):

Sergei Sidorov ◽

Andrew Khomchenko ◽

Sergei Mironov

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection ◽

Selection For ◽

Gains And Losses ◽

Asymmetric Attitude

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Reaching goals under ambiguity: Continuous-time optimal portfolio selection

Statistics & Probability Letters ◽

10.1016/j.spl.2018.01.010 ◽

2018 ◽

Vol 137 ◽

pp. 63-69

Author(s):

Shaolin Ji ◽

Xiaomin Shi

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Optimal Portfolio ◽

Time Optimal ◽

Optimal Portfolio Selection

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Correction on “Optimal portfolio selection when stock prices follow an jump-diffusion process”

Mathematical Methods of Operations Research ◽

10.1007/s00186-006-0139-4 ◽

2007 ◽

Vol 65 (3) ◽

pp. 559-564

Author(s):

Wenjing Guo ◽

Chengming Xu

Keyword(s):

Diffusion Process ◽

Portfolio Selection ◽

Stock Prices ◽

Jump Diffusion ◽

Optimal Portfolio ◽

Jump Diffusion Process ◽

Optimal Portfolio Selection

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A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection

SSRN Electronic Journal ◽

10.2139/ssrn.3803193 ◽

2021 ◽

Author(s):

Gregory Connor ◽

Shaoran Li ◽

Oliver B. Linton

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs

Advances in Computer Science and Engineering: Texts - Machine Learning for Financial Engineering ◽

10.1142/9781848168145_0003 ◽

2012 ◽

pp. 119-152 ◽

Author(s):

László Györfi ◽

Harro Walk

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Proportional Transaction Costs ◽

Selection Strategies ◽

Optimal Portfolio Selection

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