Please use this identifier to cite or link to this item:
DC FieldValue
dc.titleInvestment strategies for stock markets with mean reversion
dc.contributor.authorEng, M.H.
dc.contributor.authorWang, Q.-G.
dc.identifier.citationEng, M.H.,Wang, Q.-G. (2008). Investment strategies for stock markets with mean reversion. 2007 IEEE International Conference on Control and Automation, ICCA : 2619-2625. ScholarBank@NUS Repository. <a href="" target="_blank"></a>
dc.description.abstractIn this article a comparison of different trading strategies and their resulting profitability when applied on a stock market with mean reverting properties is made. The focus is on two main strategies, dollar cost averaging and value averaging. Dollar cost averaging is an investment strategy which reduces the investment risk through the systematic purchase of securities at predetermined intervals and set amounts. Value averaging is a strategy in which an investor adjusts the amount invested to meet a prescribed target. Results indicate that value averaging does have higher expected investment returns in a mean reverting financial market when considering the cash flow stream of the investment. However, when a side-fund which provides loans and deposits is introduced into the cash flow stream, value averaging fails to outperform the market. Dollar cost averaging on the other hand does not provide superior performance to a random investing technique. © 2007 IEEE.
dc.subjectDollar cost averaging
dc.subjectMean reversion
dc.subjectValue averaging
dc.typeConference Paper
dc.contributor.departmentELECTRICAL & COMPUTER ENGINEERING
dc.description.sourcetitle2007 IEEE International Conference on Control and Automation, ICCA
Appears in Collections:Staff Publications

Show simple item record
Files in This Item:
There are no files associated with this item.


checked on Mar 17, 2023

Page view(s)

checked on Mar 16, 2023

Google ScholarTM



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.