Chung-Han Hsieh, John A. Gubner, B. Ross Barmish. Rebalancing Frequency Considerations for Kelly-Optimal Stock Portfolios in a Control-Theoretic Framework. In 57th IEEE Conference on Decision and Control, CDC 2018, Miami, FL, USA, December 17-19, 2018. pages 5820-5825, IEEE, 2018. [doi]
Abstract is missing.