10 citations · 10 across the 5 of their papers we have counts for
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q-fin.PM2012★ 10 cited
Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach
Sait Tunc, Suleyman S. Kozat
We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital ov…
q-fin.PM2012
Optimal Investment Under Transaction Costs
Sait Tunc, Mehmet A. Donmez, Suleyman S. Kozat
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolio…