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

On-Line Portfolio Selection for a Currency Exchange Market

“…We have shown that the investors follow two update rules with the cross rate method to obtain more than half probability to reschedule the portfolio vector profitability and these update rules can also be considered as universality for the investors to measure on-line portfolios, by following the main ideas of [2], but the difference is that our two update ruels with the decrements replace the transaction cost discussed in [2]. This paper introduces a universal prediction method for on-line portfolio selection.…”

“…In our consideration, we focus on the on-line portfolio selection with the prediction method in the currency exchange markets. This strategy has showed success in [2] as a universal profitable selection strategy that pays more attention to the transaction costs.…”

“…To discuss the order of the currency, we introduce the cross rate step by step. The idea follows [2].…”

“…The feature of universality has been discussed in many papers. Here we follow [2] to discuss the universality of our on-line portfolio selections. In fact, the universality of the FFGD and the EGRFD can be used for any portfolio strategies.…”

“…Our consideration follows preliminarily the work of [2]. However, there is a streak difference that in [2] the authors considered two update rules for on-line portfolio selections with transaction costs, while in this paper we will discuss the two update rules for on-line portfolio selections for the currency market with decrements consisting of the above mentioned four factors which lead to certain reduction from the market fluctuates or from the profits of the portfolios.…”