{"id":"https://openalex.org/W1991443019","doi":"https://doi.org/10.1109/icassp.2013.6639368","title":"Growth optimal investment with threshold rebalancing portfolios under transaction costs","display_name":"Growth optimal investment with threshold rebalancing portfolios under transaction costs","publication_year":2013,"publication_date":"2013-05-01","ids":{"openalex":"https://openalex.org/W1991443019","doi":"https://doi.org/10.1109/icassp.2013.6639368","mag":"1991443019"},"language":"en","primary_location":{"id":"doi:10.1109/icassp.2013.6639368","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2013.6639368","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2013 IEEE International Conference on Acoustics, Speech and Signal Processing","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5035446892","display_name":"Sait Tun\u00e7","orcid":"https://orcid.org/0000-0002-0194-7795"},"institutions":[{"id":"https://openalex.org/I130701444","display_name":"Georgia Institute of Technology","ror":"https://ror.org/01zkghx44","country_code":"US","type":"education","lineage":["https://openalex.org/I130701444"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Sait Tunc","raw_affiliation_strings":["Industrial Engineering Department, Georgia Institute of Technology, Atlanta, USA","Ind. Eng. Dept., Georgia Inst. of Technol., Atlanta, GA, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Industrial Engineering Department, Georgia Institute of Technology, Atlanta, USA","institution_ids":["https://openalex.org/I130701444"]},{"raw_affiliation_string":"Ind. Eng. Dept., Georgia Inst. of Technol., Atlanta, GA, USA","institution_ids":["https://openalex.org/I130701444"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072408248","display_name":"Mehmet A. Donmez","orcid":"https://orcid.org/0000-0001-6407-8745"},"institutions":[{"id":"https://openalex.org/I1351752","display_name":"Ko\u00e7 University","ror":"https://ror.org/00jzwgz36","country_code":"TR","type":"education","lineage":["https://openalex.org/I1351752"]}],"countries":["TR"],"is_corresponding":false,"raw_author_name":"Mehmet A. Donmez","raw_affiliation_strings":["Electrical and Electronics Engineering Department, Koc University, Istanbul, Turkey","Electr. & Electron. Eng. Dept., Koc Univ., Istanbul, Turkey#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Electrical and Electronics Engineering Department, Koc University, Istanbul, Turkey","institution_ids":["https://openalex.org/I1351752"]},{"raw_affiliation_string":"Electr. & Electron. Eng. Dept., Koc Univ., Istanbul, Turkey#TAB#","institution_ids":["https://openalex.org/I1351752"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103267259","display_name":"S\u00fcleyman S. Kozat","orcid":"https://orcid.org/0000-0002-6488-3848"},"institutions":[{"id":"https://openalex.org/I168864056","display_name":"Bilkent University","ror":"https://ror.org/02vh8a032","country_code":"TR","type":"education","lineage":["https://openalex.org/I168864056"]}],"countries":["TR"],"is_corresponding":false,"raw_author_name":"Suleyman S. Kozat","raw_affiliation_strings":["Electrical and Electronics Engineering Department, Bilkent University, Ankara, Turkey","Electr. & Electron. Eng. Dept., Bilkent Univ., Ankara, Turkey"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Electrical and Electronics Engineering Department, Bilkent University, Ankara, Turkey","institution_ids":["https://openalex.org/I168864056"]},{"raw_affiliation_string":"Electr. & Electron. Eng. Dept., Bilkent Univ., Ankara, Turkey","institution_ids":["https://openalex.org/I168864056"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.14306532,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"21","issue":null,"first_page":"8717","last_page":"8721"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7497711181640625},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.6592331528663635},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5206595659255981},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.49738624691963196},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.47107070684432983},{"id":"https://openalex.org/keywords/database-transaction","display_name":"Database transaction","score":0.45690053701400757},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4313111901283264},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4209568500518799},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3965356945991516},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.32981404662132263},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.1888580024242401}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7497711181640625},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6592331528663635},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5206595659255981},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.49738624691963196},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.47107070684432983},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.45690053701400757},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4313111901283264},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4209568500518799},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3965356945991516},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.32981404662132263},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1888580024242401},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/icassp.2013.6639368","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2013.6639368","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2013 IEEE International Conference on Acoustics, Speech and Signal Processing","raw_type":"proceedings-article"},{"id":"pmh:oai:repository.bilkent.edu.tr:11693/27969","is_oa":false,"landing_page_url":"http://hdl.handle.net/11693/27969","pdf_url":null,"source":{"id":"https://openalex.org/S4306400079","display_name":"Bilkent University Institutional Repository (Bilkent University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I168864056","host_organization_name":"Bilkent University","host_organization_lineage":["https://openalex.org/I168864056"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2013 IEEE International Conference on Acoustics, Speech and Signal Processing","raw_type":"Conference Paper"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.4699999988079071}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W1891298814","https://openalex.org/W1932396968","https://openalex.org/W1964964840","https://openalex.org/W2041139561","https://openalex.org/W2041823389","https://openalex.org/W2051614088","https://openalex.org/W2060753468","https://openalex.org/W2070201264","https://openalex.org/W2071784850","https://openalex.org/W2099111195","https://openalex.org/W2106658060","https://openalex.org/W2115580984","https://openalex.org/W2120499560","https://openalex.org/W2122429840","https://openalex.org/W2128339078","https://openalex.org/W2135587704","https://openalex.org/W2140275301","https://openalex.org/W2142740832","https://openalex.org/W2151352616","https://openalex.org/W2155430364","https://openalex.org/W2159679784","https://openalex.org/W3122139852","https://openalex.org/W3122820618","https://openalex.org/W3217512251","https://openalex.org/W4236670843","https://openalex.org/W4237883889"],"related_works":["https://openalex.org/W1536727859","https://openalex.org/W3124009333","https://openalex.org/W2417737453","https://openalex.org/W2373220065","https://openalex.org/W2233476005","https://openalex.org/W2089073576","https://openalex.org/W3125714252","https://openalex.org/W2341580512","https://openalex.org/W2953089714","https://openalex.org/W2388487404"],"abstract_inverted_index":{"We":[0],"study":[1],"how":[2],"to":[3],"invest":[4],"optimally":[5],"in":[6,35,47],"a":[7,11,17,25],"stock":[8],"market":[9,42],"having":[10],"finite":[12],"number":[13],"of":[14],"assets":[15],"from":[16,81],"signal":[18],"processing":[19],"perspective.":[20],"In":[21],"particular,":[22],"we":[23,85],"introduce":[24],"portfolio":[26,66,99],"selection":[27],"algorithm":[28],"that":[29,73,100],"maximizes":[30],"the":[31,41,65,71,74,82,87,96,102],"expected":[32,88,104],"cumulative":[33,105],"wealth":[34,89,106],"i.i.d.":[36],"two-asset":[37],"discrete-time":[38],"markets":[39],"where":[40,60],"levies":[43],"proportional":[44,91],"transaction":[45,92],"costs":[46,93],"buying":[48],"and":[49,94],"selling":[50],"stocks.":[51],"This":[52],"is":[53],"achieved":[54],"by":[55],"using":[56],"\u201cthreshold":[57],"rebalanced":[58,98],"portfolios\u201d,":[59],"trading":[61],"occurs":[62],"only":[63],"if":[64],"breaches":[67],"certain":[68],"thresholds.":[69],"Under":[70],"assumption":[72],"relative":[75],"price":[76],"sequences":[77],"have":[78],"log-normal":[79],"distribution":[80],"Black-Scholes":[83],"model,":[84],"evaluate":[86],"under":[90],"find":[95],"threshold":[97],"achieves":[101],"maximal":[103],"over":[107],"any":[108],"investment":[109],"period.":[110]},"counts_by_year":[],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
