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: | Vanderbei Robert J. |
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