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- W3123065165 abstract "In this paper we investigate growth optimal investment in two-asset discrete-time markets with proportional transaction costs and no distributional assumptions on the market return sequences. We construct a policy with growth rate at least as large as any interval policy. Since interval policies are mu-optimal for independent and identically distributed (i.i.d.) markets (Iyengar 2002), it follows that our policy when employed in an i.i.d. market is able to learn the optimal interval policy and achieve growth optimality; in other words, it is a universal growth optimal policy for i.i.d. markets." @default.
- W3123065165 created "2021-02-01" @default.
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- W3123065165 date "2005-03-23" @default.
- W3123065165 modified "2023-09-23" @default.
- W3123065165 title "Universal Investment in Markets with Transaction Costs" @default.
- W3123065165 hasPublicationYear "2005" @default.
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