Dynamic Portfolio Management with Transaction Costs

TitleDynamic Portfolio Management with Transaction Costs
Publication TypeConference Paper
Year of Publication2009
AuthorsSuárez, A., Moody J., & Saffell M.
Other Numbers2425

This work was partially supported by funding provided to ICSI through National Science Foundation grant IIS: 0342634 ("Risk, Reward, and Reinforcement"). Any opinions, findings, and conclusions or recommendations expressed in this material are those of the authors or originators and do not necessarily reflect the views of the National Science Foundation.

Bibliographic Notes

Proceedings of the International Workshop on Advances in Machine Learning for Computational Finance, London, United Kingdom.

Abbreviated Authors

A. Suarez, J. Moody, and M. Saffell

ICSI Research Group


ICSI Publication Type

Article in conference proceedings