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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]

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Sujit Das

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Mukul Goyal

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