Научный семинар Михаила Зервоса (ЛШЭ): "Buy-low and sell-high investment strategies"
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| Михаил Зервос |
Докладчик: Михаил Зервос (ЛШЭ)
Тема доклада: «Buy-low and sell-high investment strategies»
Abstract: Buy-low and sell-high investment strategies are a recurrent theme in the considerations of many investors. In this paper, we consider an investor who aims at maximising the expected discounted cash-flow that can be generated by sequentially buying and selling one share of a given asset at fixed transaction costs. We model the underlying asset price by means of a general one-dimensional Ito diffusion X, we solve the resulting stochastic control problem in a closed analytic form, and we completely characterise the optimal strategy. In particular, we show that, if 0 is a natural boundary point of X, e.g., if X is a geometric Brownian motion, then it is never optimal to sequentially buy and sell. On the other hand, we prove that, if 0 is an entrance point of X, e.g., if X is a mean-reverting constant elasticity of variance (CEV) process, then it may be optimal to sequentially buy and sell, depending on the problem data.
Рабочий язык семинара - английский.
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