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Fulton, Chad - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 153-184

This paper studies static rational inattention problems with multiple actions and multiple shocks. We solve for the optimal signals chosen by agents and provide tools to interpret information processing. By relaxing restrictive assumptions previously used to gain tractability, we allow agents...

Persistent link: https://www.econbiz.de/10012806924

Optimal fund menus

Cvitanić, Jakša; Hugonnier, Julien - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 455-516

Persistent link: https://www.econbiz.de/10013164556

A novel adjusted learning algorithm for online portfolio selection using peak price tracking approach

Dai, Hong-Liang; Huang, Cui-Yin; Dai, Hong-Ming; Lai, … - In: Decision analytics journal 7 (2023), pp. 1-10

machine learning. We propose a novel adjusted learning algorithm based on peak price tracking for OLPS to tackle this … challenge. The algorithm is based on an aggressive strategy with residual information and transaction costs. We first propose an … adjusted online portfolio selection algorithm using Peak Price Tracking Approach (PPTA) to improve the accuracy of return …

Persistent link: https://www.econbiz.de/10014505333