Abstract
We present an on-line portfolio selection strategy with prediction taking transaction costs into account. The new prediction method is based on the new idea of “cross rate” for the sequence of price relative vectors. It is proved that the new portfolio strategy is profitable almost surely under certain mild assumption. The performance of our algorithm is tested on real data from the London Stock Exchange.
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Albeverio, S., Lao, L., Zhao, X. (2001). On-line portfolio strategy with prediction. In: Kohlmann, M., Tang, S. (eds) Mathematical Finance. Trends in Mathematics. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8291-0_1
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DOI: https://doi.org/10.1007/978-3-0348-8291-0_1
Publisher Name: Birkhäuser, Basel
Print ISBN: 978-3-0348-9506-4
Online ISBN: 978-3-0348-8291-0
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