Publication Details
Title: Dynamic Portfolio Management with Transaction Costs
Author: A. Suarez, J. Moody, and M. Saffell
Group: Algorithms
Date: July 2009
PDF: http://www.icsi.berkeley.edu/pubs/algorithms/amlcf093.pdf
Acknowledgements:
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 Information:
Proceedings of the International Workshop on Advances in Machine Learning for Computational Finance, London, United Kingdom. Also presented at the Multidisciplinary Symposium on Reinforcement Learning, Montreal, Canada, June 2009
Bibliographic Reference:
A. Suarez, J. Moody, and M. Saffell. Dynamic Portfolio Management with Transaction Costs. Proceedings of the International Workshop on Advances in Machine Learning for Computational Finance, London, United Kingdom. Also presented at the Multidisciplinary Symposium on Reinforcement Learning, Montreal, Canada, June 2009, July 2009
Author: A. Suarez, J. Moody, and M. Saffell
Group: Algorithms
Date: July 2009
PDF: http://www.icsi.berkeley.edu/pubs/algorithms/amlcf093.pdf
Acknowledgements:
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 Information:
Proceedings of the International Workshop on Advances in Machine Learning for Computational Finance, London, United Kingdom. Also presented at the Multidisciplinary Symposium on Reinforcement Learning, Montreal, Canada, June 2009
Bibliographic Reference:
A. Suarez, J. Moody, and M. Saffell. Dynamic Portfolio Management with Transaction Costs. Proceedings of the International Workshop on Advances in Machine Learning for Computational Finance, London, United Kingdom. Also presented at the Multidisciplinary Symposium on Reinforcement Learning, Montreal, Canada, June 2009, July 2009