Rásonyi Miklós (ELTE és Rényi): Szintelérésen alapuló stratégiák a pénzügyi matematikában

To profit from price oscillations, investors frequently use threshold-type strategies where changes in the portfolio position are triggered by some indicators reaching prescribed levels.

In this paper we investigate threshold-type strategies in the context of ergodic control.

We make the first steps towards their optimization by proving ergodic properties of related functionals. Assuming Markovian price increments satisfying a minorization condition and (one-sided) boundedness we show, in particular, that for given thresholds, the distribution of the gains converges in the long run (arXiv:2111.14708)