Abstract
In this paper, the optimal trading strategy in timing the market by switching between two stocks is given. In order to deal with a large sample size with a fast turnaround computation time, we propose a class of recursive algorithm. A simulation is given to verify the effectiveness of our method.
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Supported by the Research Fund for the Doctoral Program of Higher Education of China (Grant No. 20020269003)
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Li, H., An, Hz. & Wu, Gf. An Efficient Algorithm for the Optimal Market Timing over Two Stocks. Acta Mathematicae Applicatae Sinica, English Series 20, 411–424 (2004). https://doi.org/10.1007/s10255-004-0180-0
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DOI: https://doi.org/10.1007/s10255-004-0180-0