A Bounded Risk Strategy for a Market With Non-Observable Parameters (2002)
| Citations: | 1 - 0 self |
BibTeX
@MISC{Dokuchaev02abounded,
author = {N.G. Dokuchaev and A.V. Savkin},
title = {A Bounded Risk Strategy for a Market With Non-Observable Parameters},
year = {2002}
}
Bookmark
 |
 |
 |
 |
 |
 |
OpenURL
Abstract
The paper investigates the investment problem in a financial market model with the risk free asset (bond) and the risky asset (stock). A hedging investment strategy is proposed and investigated. This strategy depends on the current prices only and does not require any market forecasting and volatility estimation. Moreover, this strategy gives a positive average gain for the classic stochastic Cox-Ross-Rubinstein market model and for the diffusion market model in any case of non-risk-neutral probabilistic measure. In the case of the diffusion model, a number of transactions is fixed and finite, but stopping time is a random value which has a finite expectation. Keywords: Portfolio choice, Stochastic market model, Uncertain deviations, Non-observable volatility 1 Introduction The paper investigates the investment problem for a discrete-time model and for a diffusion model of a financial market which consist of the risk free bond or bank account and the risky stock. Such models have been...
