Online Portfolio Selection with Constant Cash Flows

This chapter studies a novel case in OLPS problem where cash flows are considered. An approach dealing with TRF and investment strategy concurrently is proposed. It is mainly intended for an open-end fund, which does not need to follow the self-financed constraint and allows for the introduction of cash inflows in decision process. On the basis of this proposed novel model, a new OLPS algorithm taking transaction costs and constant cash inflows into account (TCI) is designed to optimize the investment wealth. Empirical studies validate that this method is able to tackle transaction costs issue and cash inflows issues effectively, outperforming several state-of-the-art OLPS algorithms.