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中文摘要：
从投资者风险厌恶的角度研究了每期汇率波动有界且在不同范围内变动的在线交易策略。在该策略下,给出了总交易期已知汇率线性波动情形的竞争比上下界,并对汇率线性波动和对数波动2种情形的竞争性能进行了比较分析。最后,通过实例说明了基于风险厌恶型的在线交易策略更适合于波动平稳的汇率序列。
英文摘要：
Based on risk aversion,this paper presents the online trading strategy of bounded daily exchange rate that fluctuates between different ranges.Under this strategy,we analyze the upper and lower bounds of the competitive ratio with linear-growth daily exchange rate and total trading periods and compare the performance of competitive ratio between linear-growth model and log-growth model.Examples show that this risk aversion policy is more suitable for exchange rate which fluctuates in the smooth.
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