Optimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns
From MaRDI portal
Publication:2784464
DOI10.1137/S0097539799358847zbMath1160.91349MaRDI QIDQ2784464
Yuh-Dauh Lyuu, Gen-Huey Chen, Hsing-Kuo Wong, Ming-Yang Kao
Publication date: 23 April 2002
Published in: SIAM Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0097539799358847
linear programming; competitive analysis; online algorithms; minimax theorem; zero-sum two-person games; balanced strategy; buy-and-hold trading problems; dollar averaging strategy; planning games
Related Items
Optimal online algorithms for the portfolio selection problem, bi-directional trading and -search with interrelated prices, Optimal online two-way trading with bounded number of transactions, Competitive difference analysis of the one-way trading problem with limited information, Average-case competitive analyses for one-way trading, Competitive algorithms for unbounded one-way trading, Online search with time-varying price bounds, Competitive analysis of bi-directional non-preemptive conversion, Optimal replenishment under price uncertainty, Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations, An online trading problem with an increasing number of available products, Online two-way trading: randomization and advice, A comparison of performance measures via online search, How much is it worth to know the future in online conversion problems?, Optimal online \(k\)-min search, Constant competitive algorithms for unbounded one-way trading under monotone hazard rate, Online k-max Search Algorithms with Applications to the Secretary Problem, Average-Case Competitive Analyses for One-Way Trading
