Optimal Buy-and-Hold Strategies for Financial Markets with Bounded Daily Returns
نویسندگان
چکیده
منابع مشابه
On Financial Markets Where Only Buy-and-hold Trading Is Possible Constantinos Kardaras and Eckhard Platen
A financial market model where agents can only trade using realistic buyand-hold strategies is considered. Minimal assumptions are made on the nature of the asset-price process — in particular, the semimartingale property is not assumed. Via a natural assumption of limited opportunities for unlimited resulting wealth from trading, coined the No-Unbounded-Profit-with-Bounded-Risk (NUPBR) conditi...
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Genetic programming (GP) is increasingly popular as a research tool for applications in finance and economics. One thread in this area is the use of GP to discover effective technical trading rules. In a seminal article, Allen & Karjalainen (1999) used GP to find rules that were profitable, but were nevertheless outperformed by the simple “buy and hold” trading strategy. Many succeeding attempt...
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ژورنال
عنوان ژورنال: SIAM Journal on Computing
سال: 2001
ISSN: 0097-5397,1095-7111
DOI: 10.1137/s0097539799358847