@inproceedings{9ae9fae1428143cdbeac75d9a5691f3e,
title = "Factor graph switching portfolios under transaction costs",
abstract = "We consider the sequential portfolio investment problem. Building on results in signal processing, machine learning, and other areas, we use factor graphs to develop new universal portfolio algorithms for switching strategies under transaction costs. These algorithms make use of a transition diagram in order to compactly represent and compute message passing on an exponentially increasing number of factor graphs. We compare this with a previous universal switching portfolios, demonstrating typically superior performance.",
keywords = "factor graphs, portfolios, sum-product, transaction costs, universal",
author = "Bean, \{Andrew J.\} and Singer, \{Andrew C.\}",
year = "2011",
doi = "10.1109/ICASSP.2011.5947666",
language = "English",
isbn = "9781457705397",
series = "ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings",
pages = "5748--5751",
booktitle = "2011 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 - Proceedings",
note = "36th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2011 ; Conference date: 22-05-2011 Through 27-05-2011",
}