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

Sergio Albeverio, LanJun Lao and XueLei Zhao

Mathematical Methods of Operations Research, 2001, vol. 54, issue 1, 133-161

Abstract: 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

Keywords: Key words: Portfolio selection; On-line algorithm; Transaction costs; Prediction; Active portfolio management; Cross rate; Entropy (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:54:y:2001:i:1:p:133-161

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DOI: 10.1007/s001860100142

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