On-line portfolio selection strategy with prediction in the presence of transaction costs

An on-line portfolio selection strategy with transaction costs is presented. It ensures investors to achieve at least the same exponential growth rate of wealth as the best stock for a long term. This equipped with a new prediction method based on “cross rates” for price relative sequences yields a profitable algorithm, which has been tested on real data from the London Stock Exchange. Copyright Springer-Verlag Berlin Heidelberg 2001

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Year of publication:	2001
Authors:	Albeverio, Sergio ; Lao, LanJun ; Zhao, XueLei
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 54.2001, 1, p. 133-161
Publisher:	Springer
Subject:	Portfolio selection \| On-line algorithm \| Transaction costs \| Prediction \| Active portfolio management \| Cross rate \| Entropy

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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