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]
@inproceedings{DasG12a, title = {Discrete-time log-optimal portfolio rebalancing: A scalable efficient algorithm}, author = {Sujit Das and Mukul Goyal}, year = {2012}, doi = {10.1109/CIFEr.2012.6327806}, url = {http://dx.doi.org/10.1109/CIFEr.2012.6327806}, researchr = {https://researchr.org/publication/DasG12a}, cites = {0}, citedby = {0}, pages = {1-7}, booktitle = {Proceedings of the 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2012, New York City, NY, USA, March 29-30, 2012}, publisher = {IEEE}, isbn = {978-1-4673-1802-0}, }