1. Estimate the inherent value $p_t^{fk}$

2. Compute the adjusted relative price $x_t=\frac{p_t}{p_t^{fk}}$

3. Return the current portfolio $b_t$ if $t<2w$

4. Compute $L{X}_1={\left(\log \left(x_{t-2w+1}\right)\mathrm{,}\cdots \mathrm{,}\log \left(x_{t-w}\right)\right)}^{\text{T}}$

5. Compute $L{X}_2={\left(\log \left(x_{t-w+1}\right)\mathrm{,}\cdots \mathrm{,}\log \left(x_t\right)\right)}^{\text{T}}$

6. Compute ${\mu }_1=average\left(L{X}_1\right)$ and ${\mu }_2=average\left(L{X}_2\right)$

7. Compute $M_{cov}\left(i\mathrm{,}j\right)=\frac{1}{w-1}{\left[L{X}_1\left(i\right)-{\mu }_1\left(i\right)\right]}^{\text{T}}\left[L{X}_2\left(j\right)-{\mu }_2\left(j\right)\right]$

8. Compute $M_{cor}\left(i\mathrm{,}j\right)=(\begin{array}{ll}\frac{M_{cor}\left(i\mathrm{,}j\right)}{{\sigma }_1\left(i\right){\sigma }_2\left(j\right)}\mathrm{,}\hfill & {\sigma }_1\left(i\right)\mathrm{,}{\sigma }_2\left(j\right)\ne 0\hfill \\ \mathrm{0,}\hfill & \text{otherwise}\mathrm{,}\hfill \end{array}$

9. Calculate claim: for $1\le i\mathrm{,}j\le m$ . Initial $clai{m}_{i\to j}=0$

if ${\mu }_2\left(i\right)\ge {\mu }_2\left(j\right)$ and $M_{cor}\left(i,j\right)>0$

$clai{m}_{i\to j}=M_{cor}\left(i\mathrm{,}j\right)+\max \left(-M_{cor}\left(i\mathrm{,}i\right)\mathrm{,0}\right)+\max \left(-M_{cor}\left(j\mathrm{,}j\right)\mathrm{,0}\right)$

10. calculate new portfolio: initial $b_{t+1}={\widehat{b}}_t$ , for $1\le i\mathrm{,}j\le m$

$transfe{r}_{i\to j}=b_{t-1}\left(i\right)\frac{clai{m}_{i\to j}}{{\displaystyle {\sum }_j}clai{m}_{i\to j}}$

$b_t\left(i\right)=b_{t-1}\left(i\right)+{\displaystyle {\sum }_{i\ne j}}\left(transfe{r}_{j\to i}-transfe{r}_{i\to j}\right)$