A martingale system theorem for stock investments

A martingale system theorem for stock investments

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Article ID: iaor1991443
Country: Netherlands
Volume: 9
Issue: 3
Start Page Number: 155
End Page Number: 159
Publication Date: May 1990
Journal: Operations Research Letters
Authors:
Abstract:

In this paper a proof is given that the dollar-cost-averaging investment strategy yields no advantage over any other non-clairvoyant strategy by showing that the difference between any two strategies is a mean-zero martingale. An interesting corrollary of this theorem is that if Xtis a continuous positive martingale then the process equ1is also a martingale.

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