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Optimal market timing strategies for ARMA (1,1) return processes
Wei Li
, Kin Lam
Research output
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Chapter in book/report/conference proceeding
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Chapter
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peer-review
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Dive into the research topics of 'Optimal market timing strategies for ARMA (1,1) return processes'. Together they form a unique fingerprint.
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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%