%0 Conference Paper %1 l.gerencser2005 %A Gerencsér, L. %A Rásonyi, M. %A Szepesvári, Cs. %A Vágó, Zs. %B CDC %D 2005 %K algorithm control, finance, gradient %P 1764--1769 %T Log-optimal Currency Portfolios and Control Lyapunov Exponents %X P. Algoet and T. Cover characterized log-optimal portfolios in a stationary market without friction. There is no analogous result for markets with friction, of which a currency market is a typical example. In this paper we restrict ourselves to simple static strategies. The problem is then reduced to the analysis of products of random matrices, the top-Lyapunov exponent giving the growth rate. New insights to products of random matrices will be given and an algorithm for optimizing top-Lyapunov exponents will be presented together with some key steps of its analysis. Simulation results will also be given. ..

@inproceedings{l.gerencser2005, abstract = {P. Algoet and T. Cover characterized log-optimal portfolios in a stationary market without friction. There is no analogous result for markets with friction, of which a currency market is a typical example. In this paper we restrict ourselves to simple static strategies. The problem is then reduced to the analysis of products of random matrices, the top-Lyapunov exponent giving the growth rate. New insights to products of random matrices will be given and an algorithm for optimizing top-Lyapunov exponents will be presented together with some key steps of its analysis. Simulation results will also be given. [..]}, added-at = {2020-03-17T03:03:01.000+0100}, author = {Gerencs{\'e}r, L. and R{\'a}sonyi, M. and Szepesv{\'a}ri, {Cs}. and V{\'a}g{\'o}, Zs.}, biburl = {https://www.bibsonomy.org/bibtex/23904aec98e4776b7cdf0ec85852229ca/csaba}, booktitle = {CDC}, date-modified = {2010-11-25 00:56:15 -0700}, interhash = {97f5945c9dc671a33d25ce7aba561126}, intrahash = {3904aec98e4776b7cdf0ec85852229ca}, keywords = {algorithm control, finance, gradient}, owner = {Beata}, pages = {1764--1769}, pdf = {papers/cdc2005.pdf}, timestamp = {2020-03-17T03:03:01.000+0100}, title = {Log-optimal Currency Portfolios and Control {L}yapunov Exponents}, year = 2005 }