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

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.

• Publication year

  1999

• Venue

  Symposium on the Theory of Computing

• Publication date

  1999-05-01

• Fields of study

  Mathematics, Business, Computer Science, Economics

• Identifiers
  DOI 10.1145/301250.301284arXiv cs/0011018
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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