An efficient algorithm for the optimal market timing over two stocks
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Publication:1884653
DOI10.1007/s10255-004-0180-0zbMath1099.91052MaRDI QIDQ1884653
Hui Li, Guo Fu Wu, Hong-Zhi An
Publication date: 5 November 2004
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-004-0180-0
sufficient statistics; transaction cost; investment return; optimal trading strategy; largest change
91B64: Macroeconomic theory (monetary models, models of taxation)
91B26: Auctions, bargaining, bidding and selling, and other market models