Adaptive online mean-variance portfolio selection with transaction costs

Sini Guo, Jia-Wen Gu, Wai-Ki Ching and Benmeng Lyu

Year of publication:	2024
Authors:	Guo, Sini ; Gu, Jia-Wen ; Ching, Wai Ki ; Lyu, Benmeng
Subject:	Adaptive moving average method \| Mean-variance model \| Online portfolio selection \| Peer impact \| Quadratic programming \| Portfolio-Management \| Portfolio selection \| Transaktionskosten \| Transaction costs \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming

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