Strategies Based on Historical Prices and Volume: Problem Statement and Existence Result
We consider the investment problem in the class of strategies that do not use direct observations of the appreciation rates of the stocks but rather use historical market data (i.e., stock prices and volume of trade) and prior distributions of the appreciation rates. We formulate the problem statement and prove the existence of optimal strategy for a general case.
KeywordsExistence Result Wiener Process Stock Prex Implied Volatility Bellman Equation
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