이 연구는 가격이 국면 전환의 기하학적인 브라운 운동을 보여주는 무배당 주식을 조사한다. 주식의 현재 가격을 고려할 때, 판매 공리는 목표 가격과 정지 손실 한도로 구성된다. "판매" 결정은 가격이 목표 가격 또는 정해진 정지 손실 한도에 도달할 때 이루어진다. 주된 목적은 투자자들에게 이익을 주는 것이다. 그들의 금융 활동 동안, 투자자들은 종종 약한 주식을 사거나 좋지 않은 때에 구매가 이루어진다. 따라서 손실을 막기 위해 그러한 주식을 가능한 한 빨리 팔 필요가 있다. 실제로, 목표 가격은 일반적으로 15%–55%의 이득이고, 정지 손실 한도는 일반적으로 5%에서 20%까지 다양하다. 그러나 각 주식마다 특성이 다르기 때문에 이익과 손실을 예약하기 위해 획일적인 규칙을 채택하는 것은 좋은 생각이 아니다. 또한 각 주식은 각 청산 규정에 따라 다르게 취급되어야 한다.
우리는 여러 목표 가격과 정지 손실 한도 세트를 고려해서, 예상 보상 기능을 향상시킨다고 기약하는 것들을 정한다. 우리는 이러한 가격 제한을 도출하는 것을 목표로 한다. 또한 예상 목표 기간과 돈을 벌고 손해를 볼 확률을 결정한다. 실제로 포트폴리오의 성과를 측정하기 위해 자주 사용되는 기준은 정해진 시간에 대한 수익률이다. 그러나 그러한 기준은 단기보유기간(τ0)에 적은 이익을 취할 것을 권장한다. 분명히 그러한 기준은 소매 투자자들, 특히 그들의 거래와 추가 거래 비용을 지속적으로 감시할 수 없는 소매 투자자들에게 적합하지 않다. 반대로, 할인 요인은 보유 기간의 결정 요소로서 시간을 대체하기 때문에 거래 빈도를 줄여버린다. 할인-보상 기능은 많은 재정 문제에서 흔히 볼 수 있다.
In current study, we have a non-dividend single stock whose price observes a switching geometric Brownian motion. Given the current price of a stock the selling axiom consists of target price and a stop-loss limit. A ‘sell’ decision is made when the price reaches either the target price or the set stop-loss limit. The main purpose is to benefit investors. One often picks up the bad stock or the purchase made is at the wrong time. Therefore, it is necessary to sell it as soon as possible to stop loss. In practice, a target price is typically around a gain of 15%–55% and stop-loss limits generally vary from 5% to 20%. It is, however, not a good idea to adopt uniform profit taking. Each stock is different, it has own characterstics. Moreover, each stock should be treated differently with different liquidation rules.
In this study, we consider sets of target prices and stop-loss limits and choose target prices and stop-loss limits that promise to enhance an expected reward function. We aim at deriving these price limits. In addition, we determine the expected target period and the probability of making and losing money. In practice, a frequent used criteria for measuring the performance of portfolios is the percentage return per unit time. However, such a criterion leads to many transactions because of it encourages small profit-taking within short holding time τ0. Clearly, such a criteria is not suitable for retail investors, especially those who are unable to constantly monitor trading and additional transaction costs. A discount factor, in contrast, rules out very frequent transactions as it replaces time as the determinant of holding time. This discounted-reward function is natural in many financial problems.
In current study, we have a non-dividend single stock whose price observesexhibits1 a regime-2switching geometric Brownian motion. Given the current price of a stock the selling axiomprinciple consists of target price and a stop-loss limit. A ‘sell’ decision is made when the price reaches either the target price or the set stop-loss limit. The main purpose is to benefit investors. During their financial career, Oneinvestors often picks up the badweak stocks or thea purchase made is at the wrong time. Therefore, it is necessary to sell it as soon as possible to stop losses3. In practice, a target price is typically around a gain of 15%–55% and stop-loss limits generally vary from 5% to 20%. It is, however, not a good idea to adopt uniform profit taking. Each stock is different, it has own characteristics4. Moreover, each stock should be treated differently with different liquidation rules.
In this study, we consider sets of target prices and stop-loss limits and choose target prices and stop-loss limitsdetermine those 5that promise to enhance an expected reward function. We aim at deriving these price limits. In addition, we determine the expected target period and the probability of making and losing money. In practice, a frequent used criteriacriterion for measuring the performance of portfolios is the percentage return per unit time. However, such a criterion leads to many transactions because of it encourages small profit-taking within short holding timeperiod6 (τ0). Clearly, such a criteria criterion is not suitable for retail investors, especially those who are unable to constantly monitor trading and additional transaction costs. A discount factor, in contrast, rules out very frequent transactions as it replaces time as the determinant of holding timeperiod. This discounted-reward function is natural common7 in many financial problems.
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In this study, we consider sets of target prices and stop-loss limits and choose target prices and stop-loss limits determine those8 that promise to enhance an expected reward function. We aim at deriving these price limits. In addition, we determine the expected target period and the probability of making and losing money. In practice, a frequent used criteriainvestors frequently measure portfolio performance criterion for measuring theof portfolios isas the percentage return per unit timeover given period. However, such athat criterion leads to many transactions because of it encourages small profit-taking small profits within a short holding timeperiod 9(τ0). and increases transaction costs.10 ClearlyHence, for those reasons, such a criteria criterion is not suitablemay be unsuitable 11for retail investors, especially those who are unable to constantly monitor trading and additional transaction costs, their portfolios. 12A discount factor, in contrast, rules out veryreduces frequent transactions as it replaces time as the determinant of holding timeperiod. This discounted-reward function is natural 13common incommonly applied to many financial problems.
This study examines a non-dividend single stock whose price exhibits a regime-switching geometric Brownian motion. We consider sets of stop-loss limits and target prices and determine those that promise to enhance an expected reward function. We aim to derive these limits as well as an expected holding period and probabilities of making and losing money.
Given the current price of a stock, the selling principle consists of target price and a stop-loss limit. A ‘sell’ decision is made when the price reaches either the target price or the set stop-loss limit. The main purpose is to benefit investors. During their financial careers, investors often pick up weak stocks or purchase it at the wrong time. Therefore, in both the cases, it is often wise and necessary to sell such a stock as soon as possible to curtail losses. In practice, target prices are typically around a gain of 15%–55% and stop-loss limits generally vary from 5% to 20%. However, it is not a good idea to adopt uniform rules for booking profits and losses because each stock has its own characteristics that call for different liquidation rules.
In practice, investors frequently measure portfolio performance as the percentage return over given period. However, that criterion encourages taking small profits within a short holding period (τ0) and increases transaction costs. Hence, for those reasons, such a criterion may be unsuitable for retail investors, especially those who are unable to constantly monitor their portfolios. A discount factor, in contrast, reduces frequent transactions as it replaces time as the determinant of holding period. This discounted-reward function is commonly applied to many financial problems.
This study examines a non-dividend single stock whose price exhibits a regime-switching geometric Brownian motion. We consider sets of stop-loss limits and target prices and determine those that promise to enhance an expected reward function. We aim to derive these limits as well as an expected holding period and probabilities of making and losing money.
