Online portfolio selection with transaction costs including market impact costs

Performance comparison among quantitative investment strategies

Version 1.1.0 (2.21 MB)
498 Downloads
(1)
12 Jul 2017
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Cite As

Youngmin Ha (2026). Online portfolio selection with transaction costs including market impact costs (https://au.mathworks.com/matlabcentral/fileexchange/56496-online-portfolio-selection-with-transaction-costs-including-market-impact-costs), MATLAB Central File Exchange. Retrieved .

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Find more on Portfolio Optimization for Asset Allocation in Help Center and MATLAB Answers

General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.1.0

If accessing limit order book data at a level greater than the highest level is required, ask (bid) price and volume above the level are estimated.
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1.0.0

Redundant folders have been removed.
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