Switching Investments
نویسندگان
چکیده
2. Approach We first define a family of very simple basic investment strategies. We wish to guarantee that the performance of our strategy is close to that of any of the the basic strategies that we may consider, which can be achieved by hedging : distributing our starting capital over all basic strategies. Let δ = δ1, δ2, . . . be a sequence of positive reals, then the basic strategy σδ initially invests all capital, then sells everything when the logarithm of the stock price exceeds δ1, then invests again when the logarithm of the stock price decreases more than δ2, and so on. We then hedge over all price-switched strategies by distributing our initial capital according to a density π.
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