| 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 