Author(s)

Panpan Ren¹, Jianglun Wu^2*

¹Department of Mathematics, Swansea University, Swansea, UK.
²School of Mathematics, Northwest University, Xi’an, China.

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.

Currency Markets with Decrements, Cross Rate Method, On-Line Portfolio Selection Strategy, Active Portfolio Management

Ren, P. and Wu, J. (2016) On-Line Portfolio Selection for a Currency Exchange Market. Journal of Mathematical Finance, 6, 471-488. doi: 10.4236/jmf.2016.64038.