A martingale system theorem for stock investments

Robert J. Vanderbei

doi:10.1016/0167-6377(90)90013-U

A martingale system theorem for stock investments

Robert J. Vanderbei

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper a proof is given that the dollar-cost-averaging investment strategy yields no advantage over any other non-clairvoyant strategy by showing that the difference between any two strategies is a mean-zero martingale. An interesting corollary of this theorem is that if X_t is a continuous positive martingale then the process Y_t = X_t ∫₀^t X_s d s - t is also a martingale.

Original language	English (US)
Pages (from-to)	155-159
Number of pages	5
Journal	Operations Research Letters
Volume	9
Issue number	3
DOIs	https://doi.org/10.1016/0167-6377(90)90013-U
State	Published - May 1990
Externally published	Yes

All Science Journal Classification (ASJC) codes

Software
Management Science and Operations Research
Industrial and Manufacturing Engineering
Applied Mathematics

Keywords

dollar cost averaging
martingales
system theorems

Access to Document

10.1016/0167-6377(90)90013-U

Cite this

@article{821eb0745af346aaa941a7fb25da0a6c,

title = "A martingale system theorem for stock investments",

abstract = "In this paper a proof is given that the dollar-cost-averaging investment strategy yields no advantage over any other non-clairvoyant strategy by showing that the difference between any two strategies is a mean-zero martingale. An interesting corollary of this theorem is that if Xt is a continuous positive martingale then the process Yt = Xt ∫0t Xs d s - t is also a martingale.",

keywords = "dollar cost averaging, martingales, system theorems",

author = "Vanderbei, {Robert J.}",

year = "1990",

month = may,

doi = "10.1016/0167-6377(90)90013-U",

language = "English (US)",

volume = "9",

pages = "155--159",

journal = "Operations Research Letters",

issn = "0167-6377",

publisher = "Elsevier B.V.",

number = "3",

}

TY - JOUR

T1 - A martingale system theorem for stock investments

AU - Vanderbei, Robert J.

PY - 1990/5

Y1 - 1990/5

N2 - In this paper a proof is given that the dollar-cost-averaging investment strategy yields no advantage over any other non-clairvoyant strategy by showing that the difference between any two strategies is a mean-zero martingale. An interesting corollary of this theorem is that if Xt is a continuous positive martingale then the process Yt = Xt ∫0t Xs d s - t is also a martingale.

AB - In this paper a proof is given that the dollar-cost-averaging investment strategy yields no advantage over any other non-clairvoyant strategy by showing that the difference between any two strategies is a mean-zero martingale. An interesting corollary of this theorem is that if Xt is a continuous positive martingale then the process Yt = Xt ∫0t Xs d s - t is also a martingale.

KW - dollar cost averaging

KW - martingales

KW - system theorems

UR - http://www.scopus.com/inward/record.url?scp=0025432335&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0025432335&partnerID=8YFLogxK

U2 - 10.1016/0167-6377(90)90013-U

DO - 10.1016/0167-6377(90)90013-U

M3 - Article

AN - SCOPUS:0025432335

SN - 0167-6377

VL - 9

SP - 155

EP - 159

JO - Operations Research Letters

JF - Operations Research Letters

IS - 3

ER -

A martingale system theorem for stock investments

Abstract

All Science Journal Classification (ASJC) codes

Keywords

Access to Document

Other files and links

Fingerprint

Cite this