Optimal time of switching between portfolios of securities (Q1407350)

The author considers strategies used by an investor on a securities market. These strategies consist in switchings from one portfolio to another for the purpose of the profit maximization. The prices of securities are described by some stochastic differential equations. To determine the optimal time of switching, two methods are used: one is based on the theory of turning-points of stopping and the other on the theory of the optimal stopping time for a factorized process. It is shown that in some cases making more than one switching is more favorable. Strategies with three or more portfolios are considered in detail, and conditions, for which two or more switchings are more profitable for the investor, are indicated.