Yi-Shan Wong, Chung-Han Hsieh. On Frequency-Based Log-Optimal Portfolio With Transaction Costs. IEEE Control Systems Letters, 7:3489-3494, 2023. [doi]
@article{WongH23-0,
title = {On Frequency-Based Log-Optimal Portfolio With Transaction Costs},
author = {Yi-Shan Wong and Chung-Han Hsieh},
year = {2023},
doi = {10.1109/LCSYS.2023.3334951},
url = {https://doi.org/10.1109/LCSYS.2023.3334951},
researchr = {https://researchr.org/publication/WongH23-0},
cites = {0},
citedby = {0},
journal = {IEEE Control Systems Letters},
volume = {7},
pages = {3489-3494},
}