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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 |
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2016
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URI: | https://cronfa.swan.ac.uk/Record/cronfa32038 |
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2017-04-03T14:30:24.4171735 v2 32038 2017-02-22 On-Line Portfolio Selection for a Currency Exchange Market dbd67e30d59b0f32592b15b5705af885 0000-0003-4568-7013 Jiang-lun Wu Jiang-lun Wu true false 2017-02-22 SMA 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. Journal Article Journal of Mathematical Finance 06 04 471 488 2162-2434 2162-2442 Currency Markets with Decrements, Cross Rate Method, On-Line Portfolio Selection Strategy, Active Portfolio Management 26 9 2016 2016-09-26 10.4236/jmf.2016.64038 http://file.scirp.org/pdf/JMF_2016092615524064.pdf COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2017-04-03T14:30:24.4171735 2017-02-22T11:50:57.1558874 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Panpan Ren 1 Jiang-lun Wu 0000-0003-4568-7013 2 0032038-22022017115127.pdf JMFPanpanRenJianglunWu.pdf 2017-02-22T11:51:27.8870000 Output 1197692 application/pdf Version of Record true 2017-02-22T00:00:00.0000000 This work is licensed under the Creative Commons Attribution International License (CC BY 4.0). true eng |
title |
On-Line Portfolio Selection for a Currency Exchange Market |
spellingShingle |
On-Line Portfolio Selection for a Currency Exchange Market Jiang-lun Wu |
title_short |
On-Line Portfolio Selection for a Currency Exchange Market |
title_full |
On-Line Portfolio Selection for a Currency Exchange Market |
title_fullStr |
On-Line Portfolio Selection for a Currency Exchange Market |
title_full_unstemmed |
On-Line Portfolio Selection for a Currency Exchange Market |
title_sort |
On-Line Portfolio Selection for a Currency Exchange Market |
author_id_str_mv |
dbd67e30d59b0f32592b15b5705af885 |
author_id_fullname_str_mv |
dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu |
author |
Jiang-lun Wu |
author2 |
Panpan Ren Jiang-lun Wu |
format |
Journal article |
container_title |
Journal of Mathematical Finance |
container_volume |
06 |
container_issue |
04 |
container_start_page |
471 |
publishDate |
2016 |
institution |
Swansea University |
issn |
2162-2434 2162-2442 |
doi_str_mv |
10.4236/jmf.2016.64038 |
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Faculty of Science and Engineering |
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Faculty of Science and Engineering |
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Faculty of Science and Engineering |
department_str |
School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics |
url |
http://file.scirp.org/pdf/JMF_2016092615524064.pdf |
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description |
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. |
published_date |
2016-09-26T03:39:11Z |
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1763751757684408320 |
score |
11.021648 |