Is it possible to compose a portfolio whose daily price process is a sub-martingale? - is the martingale system illegal
I believe that portfolios that are linear combinations of traded goods inherit the property of the underlying security. Suppose that the market has sufficient access to the many benefits that you can find a subset composition and appropriate well-diversified portfolio with weights daily process of pricing the portfolio sub-martingale? What assumptions are necessary to enable this option, then?
Monday, January 25, 2010
Is The Martingale System Illegal Is It Possible To Compose A Portfolio Whose Daily Price Process Is A Sub-martingale?
1 comment:
It is a question about the behavior of financial markets is not mathematics.
The random walk hypothesis states that if the markets were perfect, everything known about an asset built in its current price. The above prices do not add information.
http://en.wikipedia.org/wiki/Random_walk ...
If this is true, then the price of financial assets in this market is a martingale and thus a sub-martingale.
http://en.wikipedia.org/wiki/Martingale_ ...
Moreover, technical analysis points out that the past use of the asset does not include information that is to predict the future price can be:
http://en.wikipedia.org/wiki/Technical_a ...
If it is true that the lack of assets expected to be under-or martingale martingale. (Note that if the past has predictive value, there are situations where an expected value) of more than Xn and other times when it is expected unless Xn and therefore can not predict its sub-martingale.
Of course, even if they be true, could include both technical and AnaLysis and the random-walk hypothesis is false. In this case you can not say whether it is possible to compose a portfolio of sub-martingale too.
Post a Comment