Optimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns.
Journal
SIAM J. Comput.
Journal Volume
31
Journal Issue
2
Pages
447-459
Date Issued
2001
Author(s)
Abstract
A general solution is presented for any finite request-answer game to derive its optimal competitive ratio and optimal randomized on-line algorithm against the oblivious adversary. The solution is based on game theory. We then apply the framework to the practical buy-and-hold trading problem and find the exact optimal competitive ratio and an optimal randomized on-line algorithm. We also prove the uniqueness of the solution.
Other Subjects
Computational complexity; Game theory; Optimization; Random processes; Theorem proving; Buy-and-hold trading; Finite request-answer games; Randomized on-line algorithms; Algorithms
Type
journal article