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On-Line Portfolio Selection for a Currency Exchange Market
Journal of Mathematical Finance, Volume: 06, Issue: 04, Pages: 471 - 488
Swansea University Author:
Jiang-lun Wu
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DOI (Published version): 10.4236/jmf.2016.64038
Abstract
The purpose of this paper is to study on-line portfolio selection strategies for cur- rency exchange markets and our focus is on the markets with presence of decre- ments. To this end, we first analyze the main factors arising in the decrements. Then we develop a cross rate scheme which enables us t...
| Published in: | Journal of Mathematical Finance |
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| ISSN: | 2162-2434 2162-2442 |
| Published: |
2016
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa32038 |
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| Abstract: |
The purpose of this paper is to study on-line portfolio selection strategies for cur- rency exchange markets and our focus is on the markets with presence of decre- ments. To this end, we first analyze the main factors arising in the decrements. Then we develop a cross rate scheme which enables us to establish an on-line portfolio se- lection strategy for the currency exchange markets with presence of decrements. Fi- nally, we prove the universality of our on-line portfolio selections. |
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| Keywords: |
Currency Markets with Decrements, Cross Rate Method, On-Line Portfolio Selection Strategy, Active Portfolio Management |
| College: |
Faculty of Science and Engineering |
| Issue: |
04 |
| Start Page: |
471 |
| End Page: |
488 |