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

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10.1016/0167-6377(90)90013-U

Cite this

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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.",

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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

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UR - https://www.scopus.com/pages/publications/0025432335#tab=citedBy

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

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

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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

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