TITLE:
On-Line Portfolio Selection for a Currency Exchange Market
AUTHORS:
Panpan Ren, Jianglun Wu
KEYWORDS:
Currency Markets with Decrements, Cross Rate Method, On-Line Portfolio Selection Strategy, Active Portfolio Management
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.6 No.4,
September
26,
2016
ABSTRACT: The purpose of this paper is to study on-line portfolio selection strategies for currency exchange markets and our focus is on the markets with presence of decrements. 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 selection strategy for the currency exchange markets with presence of decrements. Finally, we prove the universality of our on-line portfolio selections.