An Analysis of Trading Strategies for Institutional Investors Modeled With Dynamic Programming and Markov Process
| Autor: | Yung-Hsiang Huang, 黃永祥 |
|---|---|
| Rok vydání: | 2004 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 92 This research is based on an imperfectly competitive market and assumes the trading strategies of the institutional investors may affect underlying stock price with cost in experience. While trying to find out the specific strategies to maximize the profit, we use the mathematical methods of Markov process and dynamic programming to develop an investment theory of institutional investor. We take stock return levels as states and adopt the concepts of transition probability to revise the trading strategies. By using our model, institutional investors may arrive at the optimal policy and the expected return from a given probability structure. When the institutional investor’s goal is long term profit rather than immediate reward, this decision model will put forward the better investment suggestion. In our article, we found even though the institutional investor’s policy may influence the short term stock price, the institutional investor should do the research and choose the investing timing. Or the strategies cost would use up all the profit. The institutional investor should conform to the trend to reduce the strategy cost and to make the use of strategies to make profit. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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