Optimal buy-and-hold strategies for financial markets with bounded daily returns

Citation
Gh. Chen et al., Optimal buy-and-hold strategies for financial markets with bounded daily returns, SIAM J COMP, 31(2), 2001, pp. 447-459
Citations number
27
Language
INGLESE
art.tipo
Article
Categorie Soggetti
Computer Science & Engineering
Journal title
SIAM JOURNAL ON COMPUTING
ISSN journal
0097-5397 → ACNP
Volume
31
Issue
2
Year of publication
2001
Pages
447 - 459
Database
ISI
SICI code
0097-5397(20011011)31:2<447:OBSFFM>2.0.ZU;2-N
Abstract
In the context of investment analysis, we formulate an abstract online comp uting problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem faced by long-term investors in stocks. We obtain the uniqu e optimal static online algorithm for the problem and determine its exact c ompetitive ratio. We also compare this algorithm with the popular dollar av eraging strategy using actual market data.