Strategies Based on Historical Prices and Volume: Problem Statement and Existence Result

  • Nikolai Dokuchaev
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 47)

Abstract

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.

Keywords

Filtration Volatility Hedging 

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Copyright information

© Kluwer Academic Publishers 2002

Authors and Affiliations

  • Nikolai Dokuchaev
    • 1
    • 2
  1. 1.The Institute of Mathematics and MechanicsSt. Petersburg State UniversitySt. PetersburgRussia
  2. 2.Department of Mathematics and Computer ScienceThe University of West IndiesKingston 7Jamaica

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