| Author: | Li, W. Lam, K. |
| Title: | Optimal market timing strategies under transaction costs |
| Journal: | Omega
2002 : APR, VOL. 30:2, p. 97-108 |
| Index terms: | Management science Regression analysis Dynamic programming Optimization Investments Securities Strategic planning Asia |
| Language: | eng |
| Abstract: | This paper considers optimal market timing strategies under transaction costs. It is assumed that the asset's return follows an auto-regressive model. Long-term investment growth is used as objective of market timing strategy which entails the shifting of funds btw. a risky and a riskless asset. The optimal trading strategy for a finite investment horizon is given, and its limiting behaviour is analyzed. An integral equation of the two threshold values is given. Numerical results for the limiting stationary strategy are presented. |
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