Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/1643
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dc.contributor.authorGashi, B-
dc.contributor.authorDate, P-
dc.coverage.spatial6en
dc.date.accessioned2008-02-14T15:23:04Z-
dc.date.available2008-02-14T15:23:04Z-
dc.date.issued2005-
dc.identifier.citation44th IEEE Conference on Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05, 12-15 December 2005en
dc.identifier.isbn0-7803-9567-0-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/1643-
dc.description.abstractWe propose a method for portfolio selection where the trading strategies are constrained to have a finite variation. A simulation example shows a significant reduction in trasaction costs as compared to log-optimal portfolio, for almost same final wealth.en
dc.format.extent207552 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.publisherIEEEen
dc.subjectLog-optimal portfolioen
dc.subjectOptimal controlen
dc.titleOptimal portfolio control with trading strategies of finite variationen
dc.typeConference Paperen
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Dept of Mathematics Research Papers
Mathematical Sciences

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