Abstract
Dollar Cost Averaging refers to an investment methodology in which
a set dollar amount is invested in a risky asset at equal time intervals
over a holding period. Our paper compares the advantages and risk of
this strategy from the point of view of a saver. Many theories focused
on the ine¢ ciency of this strategy compared to other non discretionary
strategies in terms of performance but, in the real world, DCA is often
used for its straightforwardness. Besides we o¤er a comparison between
DCA and Lump Sum focusing on the risk the investor bears during the
entire investment horizon and not only at the end of the period. This risk
in the within horizon is measured in particular with First Passage Time
Probability and Expected Minimum Portfolio Value applied to portfo-
lios simulated with Monte Carlo and di¤erent types of Bootstrap (block,
stationary and residual sampling).
| Original language | English |
|---|---|
| Title of host publication | Challenges for the analysis for the economy, the business, and social progress |
| Pages | 150 |
| Number of pages | 1 |
| Publication status | Published - 2010 |
| Event | Challenges for the analysis for the economy, the business, and social progress - Szeged Duration: 19 Nov 2009 → 21 Nov 2009 |
Conference
| Conference | Challenges for the analysis for the economy, the business, and social progress |
|---|---|
| City | Szeged |
| Period | 19/11/09 → 21/11/09 |
Keywords
- dollar cost averaging
- risk in the within horizon