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

DOI10.1137/S0097539799358847zbMath1160.91349OpenAlexW1978416470MaRDI QIDQ2784464

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

Publication date: 23 April 2002

Published in: SIAM Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0097539799358847

zbMATH Keywords

linear programmingcompetitive analysisonline algorithmsminimax theoremzero-sum two-person gamesbalanced strategybuy-and-hold trading problemsdollar averaging strategyplanning games

Mathematics Subject Classification ID

Linear programming (90C05) 2-person games (91A05) (n)-person games, (n>2) (91A06)

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