Universal switching portfolios under transaction costs

Suleyman S. Kozat, Andrew Carl Singer

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio selection that asymptotically achieves the wealth of the best piecewise constant rebalanced portfolio tuned to the underlying individual sequence of price relative vectors where we pay a fixed percent commission for each transaction. Without knowledge of the investment duration, the algorithm can perform as well as the best investment algorithm that can choose both the partitioning of the sequence of the price relative vectors as well as the best constant rebalanced portfolio within each segment based on knowledge of the sequence of price relative vectors in advance. We use a transition diagram similar to that in [1] to compete with an exponential number of switching investment strategies, using only linear complexity in the data length for combination.

Original languageEnglish (US)
Title of host publication2008 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP
Pages5404-5407
Number of pages4
DOIs
StatePublished - Sep 16 2008
Event2008 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP - Las Vegas, NV, United States
Duration: Mar 31 2008Apr 4 2008

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)1520-6149

Other

Other2008 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP
CountryUnited States
CityLas Vegas, NV
Period3/31/084/4/08

Keywords

  • Adaptive signal processing
  • Bayesian learning
  • Portfolio selection

ASJC Scopus subject areas

  • Software
  • Signal Processing
  • Electrical and Electronic Engineering

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  • Cite this

    Kozat, S. S., & Singer, A. C. (2008). Universal switching portfolios under transaction costs. In 2008 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP (pp. 5404-5407). [4518882] (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). https://doi.org/10.1109/ICASSP.2008.4518882