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On-line portfolio selection strategy with prediction in the presence of transaction costs |
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| Authors: | Sergio Albeverio LanJun Lao XueLei Zhao |
| Affiliation: | Universit?t Bonn, Institut für Angewandte Mathematik, Wegelerstr. 6, D-53115 Bonn, Germany (e-mail: albeverio@uni-bonn.de), DE School of Management, Fudan University, 200433 Shanghai, P.R. China, CN Institute of Mathematics, Fudan University, 200433 Shanghai, P.R. China (e-mail: xlzhao@fudan.edu.cn), CN |
| Abstract: | |
| Keywords: | : Portfolio selection On-line algorithm Transaction costs Prediction Active portfolio management Cross rate Entropy |
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