英文标题：
《Foreign exchange market modelling and an on-line portfolio selection
algorithm》
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作者：
Panpan Ren, Jiang-Lun Wu
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最新提交年份：
2017
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英文摘要：
In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line portfolio strategies. Moreover, we attempt to predict returns of portfolios by developing a cross rate method. This leads us to construct an on-line portfolio selection algorithm for this model. At the end, we prove the profitability and the universality of our algorithm.
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中文摘要：
本文介绍了一个外汇市场的矩阵值时间序列模型。然后，我们制定了交易矩阵、外汇期权和回报期权（矩阵）以及在线投资组合策略。此外，我们试图通过开发交叉利率方法来预测投资组合的回报。这使得我们为该模型构建了一个在线投资组合选择算法。最后，我们证明了算法的有效性和通用性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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