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On-Line Portfolio Selection for a Currency Exchange Market

Panpan Ren, Jiang-lun Wu Orcid Logo

Journal of Mathematical Finance, Volume: 06, Issue: 04, Pages: 471 - 488

Swansea University Author: Jiang-lun Wu Orcid Logo

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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...

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Published in: Journal of Mathematical Finance
ISSN: 2162-2434 2162-2442
Published: 2016
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URI: https://cronfa.swan.ac.uk/Record/cronfa32038
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first_indexed 2017-02-22T14:01:02Z
last_indexed 2018-02-09T05:19:32Z
id cronfa32038
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spelling 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
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title 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
document_store_str 1
active_str 0
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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score 11.021648

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