Optimal market timing strategies under transaction costs

Omega

Volumn 30, Issue 2, 2002, Pages 97-108

  Li, Wei ^a   Lam, Kin ^b  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Autoregressive models; Growth optimal investment strategy; Market timing; Stochastic dynamic programming

Indexed keywords

COMMERCE; COSTS; DYNAMIC PROGRAMMING; FINANCIAL MARKETS; INVESTMENTS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; TIMING CIRCUITS;

AUTOREGRESSIVE MODELLING; GROWTH-OPTIMAL INVESTMENT STRATEGY; INVESTMENT HORIZON; INVESTMENT STRATEGY; MARKET TIMINGS; OPTIMAL INVESTMENTS; STOCHASTIC DYNAMIC PROGRAMMING; THRESHOLD-VALUE; TIMING STRATEGY; TRANSACTION COST;

INTEGRAL EQUATIONS;

EID: 0036170383     PISSN: 03050483     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0305-0483(01)00060-3     Document Type: Article

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