Discrete-time log-optimal portfolio rebalancing: A scalable efficient algorithm

Sujit Das, Mukul Goyal. Discrete-time log-optimal portfolio rebalancing: A scalable efficient algorithm. In Proceedings of the 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2012, New York City, NY, USA, March 29-30, 2012. pages 1-7, IEEE, 2012. [doi]

Abstract

Abstract is missing.