fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the … and one stock, to a market with a finite number n>1 of stocks. -- Portfolio theory ; transaction costs ; Harris recurrence … ; renewal theory …

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante … forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither …