A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion

Algorithm 1

Online portfolio selection framework.

(1)	Input: Historical market price relative sequence
(2)	Output: Final cumulative wealth
(3)	Initialization: ,
(4)	for to do
(5)	Portfolio manager learns the portfolio based on historical information
(6)	Market reveals the actual price relative
(7)	Portfolio incurs daily return and updates cumulative return
(8)	end for