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http://dx.doi.org/10.1007/s001860100142

has been cited by the following article:

• TITLE: On-Line Portfolio Selection for a Currency Exchange Market

  AUTHORS: Panpan Ren, Jianglun Wu

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

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.4, September 26, 2016

  ABSTRACT: 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.