| Article ID: | iaor2003546 |
| Country: | Germany |
| Volume: | 54 |
| Issue: | 1 |
| Start Page Number: | 133 |
| End Page Number: | 161 |
| Publication Date: | Jan 2001 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Zhao X., Albeverio S., Lao L. |
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.