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

Gen-Huey Chen | Zendy; MingYang Kao | Zendy; YuhDauh Lyuu | Zendy; Hsing-Kuo Wong | Zendy

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

Author(s) -

Gen-Huey Chen,

MingYang Kao,

YuhDauh Lyuu,

Hsing-Kuo Wong

Publication year - 1999

Publication title -

ntur (臺灣機構典藏)

Language(s) - English

Resource type - Conference proceedings

DOI - 10.1145/301250.301284

Subject(s) - competitive analysis , context (archaeology) , computer science , trading strategy , financial market , bounded function , investment (military) , liberian dollar , online algorithm , algorithmic trading , term (time) , investment strategy , mathematical optimization , financial economics , finance , economics , mathematics , algorithm , mathematical analysis , paleontology , physics , quantum mechanics , politics , political science , law , upper and lower bounds , biology , market liquidity

In the context of investment analysis, we formulate an abstract online computing 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 unique optimal static online algorithm for the problem and determine its exact competitive ratio. We also compare this algorithm with the popular dollar averaging strategy using actual market data.

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