Optimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns

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dc.creatorChen, Gen-Huey
dc.creatorKao, Ming-Yang
dc.creatorLyuu, Yuh-Dauh
dc.creatorWong, Hsing-Kuo
dc.date2000-11-14
dc.date.accessioned2026-07-07T03:16:43Z
dc.date.available2026-07-07T03:16:43Z
dc.descriptionIn 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.
dc.descriptionThe journal version will appear in SIAM Journal on Computing. A preliminary version appeared in Proceedings of the 31st Annual ACM Symposium on Theory of Computing, 1999, pages 119--128
dc.identifierhttps://arxiv.org/abs/cs/0011018
dc.identifierhttp://arxiv.org/abs/cs/0011018
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/30457
dc.subjectComputational Engineering, Finance, and Science
dc.subjectData Structures and Algorithms
dc.subjectF.2.2; I.1.2; J.4
dc.titleOptimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns
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