An efficient algorithm for the optimal market timing over two stocks

DOI10.1007/S10255-004-0180-0MaRDI QIDQ1884653zbMATH OpenOpenAlexFDO

Authors Hui Li, Hongzhi An, Guo Fu Wu

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

zbMATH Keywords

transaction costinvestment returnoptimal trading strategysufficient statisticslargest change

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Auctions, bargaining, bidding and selling, and other market models (91B26)

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