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

Gen Huey Chen; Ming Yang Kao; Yuh Dauh Lyuu; Hsing Kuo Wong

doi:10.1145/301250.301284

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

Gen Huey Chen^*, Ming Yang Kao, Yuh Dauh Lyuu, Hsing Kuo Wong

^*Corresponding author for this work

Computer Science

Research output: Contribution to journal › Conference article › peer-review

8 Scopus citations

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.

Original language	English (US)
Pages (from-to)	119-128
Number of pages	10
Journal	Conference Proceedings of the Annual ACM Symposium on Theory of Computing
DOIs	https://doi.org/10.1145/301250.301284
State	Published - 1999
Event	Proceedings of the 1999 31st Annual ACM Symposium on Theory of Computing - FCRC '99 - Atlanta, GA, USA Duration: May 1 1999 → May 4 1999

ASJC Scopus subject areas

Software

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10.1145/301250.301284

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title = "Optimal buy-and-hold strategies for financial markets with bounded daily returns",

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.",

author = "Chen, {Gen Huey} and Kao, {Ming Yang} and Lyuu, {Yuh Dauh} and Wong, {Hsing Kuo}",

year = "1999",

doi = "10.1145/301250.301284",

language = "English (US)",

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journal = "Conference Proceedings of the Annual ACM Symposium on Theory of Computing",

issn = "0734-9025",

publisher = "Association for Computing Machinery (ACM)",

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AU - Chen, Gen Huey

AU - Kao, Ming Yang

AU - Lyuu, Yuh Dauh

AU - Wong, Hsing Kuo

PY - 1999

Y1 - 1999

N2 - 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.

AB - 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.

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DO - 10.1145/301250.301284

M3 - Conference article

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JO - Conference Proceedings of the Annual ACM Symposium on Theory of Computing

JF - Conference Proceedings of the Annual ACM Symposium on Theory of Computing

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Y2 - 1 May 1999 through 4 May 1999

ER -

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

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