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Proceedings of the 44th IEEE Conference on Decision and Control
We propose a method for portfolio selection with trading strategies constrained to having a finite variation. A linear combination of logarithms of each asset holdings values are used as a criterion, which also includes a penalty on the logarithmic rates of change of trading strategies. A simulation example shows a significant reduction in transaction cost as compared to a log-optimal portfolio.doi:10.1109/cdc.2005.1582877 fatcat:gspwvca3fjdyjiy3y7pwnuuj7m