2022. 05. 13. 10:00 - 2022. 05. 13. 11:00
ELTE TTK Déli tömb, 1117 Budapest, Pázmány Péter sétány 1/c, harmadik emelet, 3-316
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Esemény típusa:
szeminárium
Szervezés:
Külsős
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Leírás
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)