Albeverio, Sergio; Lao, LanJun; Zhao, XueLei - In: Mathematical Methods of Operations Research 54 (2001) 1, pp. 133-161
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...