Online portfolio selection with transaction costs including market impact costs

버전 1.1.0.0 (2.21 MB) 작성자: Youngmin Ha
Performance comparison among quantitative investment strategies

다운로드 수: 460

업데이트 날짜: 2017/7/12

라이선스 보기

You can download the corresponding paper at http://ssrn.com/abstract=2763202. I have not uploaded LOBSTER (https://lobsterdata.com/) data in order to obey NASDAQ OMX Global Subscriber Agreement. Therefore, you will get different results from the paper. If you download the LOBSTER data and extract daily closing prices by running lobsterClosingData.m, you will get the same results as the paper.

인용 양식

Youngmin Ha (2022). Online portfolio selection with transaction costs including market impact costs (https://www.mathworks.com/matlabcentral/fileexchange/56496-online-portfolio-selection-with-transaction-costs-including-market-impact-costs), MATLAB Central File Exchange. 검색됨 .

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