Edoardo Vittori, Martino Bernasconi de Luca, Francesco Trovò, Marcello Restelli. Dealing with transaction costs in portfolio optimization: online gradient descent with momentum. In Tucker Balch, editor, ICAIF '20: The First ACM International Conference on AI in Finance, New York, NY, USA, October 15-16, 2020. ACM, 2020. [doi]
Abstract is missing.