Optimal buy-and-hold strategies for financial markets with bounded daily returns

摘要

A general solution is presented for any finite request-answer game to derive its optimal competitive ratio and optimal randomized on-line algorithm against the oblivious adversary.The solution is bsed on game theory.We then apply the framework to the practical buy-and-hold trading problem ad find the exact optimal competitive ratio and an optimal randomized on-line algorithm.We also prove the uniqueness of the solution.