http://jobfunctions.bnet.com/abstract.aspx?docid=73682
A Monte Carlo simulation model is developed to help an investor decide
between a lump-sum (LS) investment strategy and a dollar-cost averaging (DCA
) investment strategy. Simulation provides the investor with a more complete
picture of the risk-return trade-offs associated with an investment’s
outcome. Results indicate no clear advantage of a DCA over an LS strategy
and question the validity of the claim that DCA delivers superior returns
fo
s********n 发帖数: 1962
2
俺不是一定要支持 DCA，不过这种烂 paper 实在没啥价值。
如果你假设市场是 pure random walk，那根本就没有任何 strategy 可以 outperform，
任何有点数学常识的人都明白这个道理，用不着去 Monte Carlo. 想从高斯分布中赚钱
就和寻求永动机一样。
话说回来，他的 simulation 考虑 LS 的话当股票跌幅很大时有多少人会割肉了吗？
DCA 最大的好处在于更容易让人坚持，而不是什么成本控制问题。
DCA
complete
【在 m**********w 的大作中提到】 : http://jobfunctions.bnet.com/abstract.aspx?docid=73682 : A Monte Carlo simulation model is developed to help an investor decide : between a lump-sum (LS) investment strategy and a dollar-cost averaging (DCA : ) investment strategy. Simulation provides the investor with a more complete : picture of the risk-return trade-offs associated with an investment’s : outcome. Results indicate no clear advantage of a DCA over an LS strategy : and question the validity of the claim that DCA delivers superior returns : fo
