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| An Optimal Control Approach to Market Timing
in the Singapore Property Market Authors: Teck Chai Chin and Geofrey T. Mills Start Page: 83 Abstract: We investigate an
optimal control approach to market timing strategy to assist property investors in
deciding the allocation of investment funds between the risk-free savings deposit and the
comparatively risky property investment. This strategy generates recommended investment
actions, namely, buy, hold, sell and wait, with the objective to attain superior
investment returns. The investment performance of this market timing strategy is compared
to that of the buy-and-hold strategy. Results from the simulation study for the
twenty-year period from 1977:1 to 1996:4 indicates that the proposed market timing
strategy is capable of achieving superior investment returns in the Singapore property
market. |
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