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A SIMPLE PROOF THAT DOLLAR AVERAGING IS A MAXIMIN INVESTMENT STRATEGY
Author(s) -
Whitmore G. A.
Publication year - 1978
Publication title -
decision sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.238
H-Index - 108
eISSN - 1540-5915
pISSN - 0011-7315
DOI - 10.1111/j.1540-5915.1978.tb00739.x
Subject(s) - minimax , liberian dollar , regret , simple (philosophy) , economics , mathematical economics , investment (military) , value (mathematics) , mathematics , econometrics , statistics , finance , philosophy , epistemology , politics , political science , law
Dollar averaging is a strategy for investment timing which hedges against purchases at the market high by investing fixed amounts at regular intervals. This note gives a simple proof that it is a maximin strategy. This result complements Pye's [2] finding that dollar averaging is a minimax regret strategy. In addition to its theoretical value, the result is an excellent classroom illustration of a real‐life application of the maximin criterion.