Optimal market timing strategies under transaction costs

Keyphrases

• Transaction Costs 100%
• Market Timing Strategy 100%
• Stationary Strategies 100%
• Two-threshold 66%
• Investment Horizon 66%
• Numerical Results 33%
• Hong Kong 33%
• Simple Strategy 33%
• Asset Returns 33%
• Long-term Investment 33%
• Optimal Decision 33%
• Hang Seng Index 33%
• Risky Assets 33%
• Autoregressive Model 33%
• Integral Equations 33%
• Index Futures Market 33%
• Limiting Behavior 33%
• Cost Increase 33%
• Optimal Strategy 33%
• Trading Rules 33%
• Technical Trading Rules 33%
• Out-of-sample Performance 33%
• Riskless Asset 33%
• Optimal Trading Strategy 33%
• 1-step 33%
• Index Trading 33%
• Investment Analysis 33%
• Investment Growth 33%
• Stationary Policy 33%

Economics, Econometrics and Finance

• Transaction Costs 100%
• Capital Market Returns 33%
• Futures Market 33%
• Behavioural Finance 33%