Optimal market timing strategies for ARMA (1,1) return processes

Keyphrases

• Control Variables 100%
• Return Process 100%
• Market Timing Strategy 100%
• Stationary Strategies 100%
• ARMA(1,1) 100%
• Transaction Costs 66%
• Investment Horizon 66%
• Numerical Results 33%
• Hong Kong 33%
• Numerical Solution 33%
• Asset Returns 33%
• Long-term Investment 33%
• Optimal Decision 33%
• Hang Seng Index 33%
• Risky Assets 33%
• Integral Equations 33%
• Dynamic Programming Algorithm 33%
• Index Futures Market 33%
• Limiting Behavior 33%
• Cost Increase 33%
• Optimal Strategy 33%
• Buy-and-hold Strategy 33%
• Out-of-sample Performance 33%
• Riskless Asset 33%
• Optimal Trading Strategy 33%
• Investment Analysis 33%
• Investment Growth 33%
• Stationary Policy 33%
• Stochastic Dynamic Programming 33%

Mathematics

• Numerical Solution 100%
• Optimal Decision 100%
• Integral Equation 100%
• Stochastic Dynamic Program 100%
• Risky Asset 100%
• Hang Seng Index 100%
• Limiting Behavior 100%
• Optimal Strategy 100%
• Return Process 100%
• Stationary Policy 100%

Economics, Econometrics and Finance

• Transaction Costs 100%
• Capital Market Returns 50%
• Futures Market 50%
• Dynamic Programming 50%