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Random Walks and Investment Theory

Published online by Cambridge University Press:  11 August 2014

Peter D. Praetz
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Extract

This article discusses the random walk hypothesis, examines some of the evidence that has been put forward to support it, and draws some implications for the theory of investment analysis. There seem to be only three references to the random walk hypothesis in U.K. actuarial literature—Weaver and Hall (1967), Hemstead (1969) and Moore (1972), all of whom discuss it very briefly. The vast majority of the research in share prices, portfolio analysis, etc. has been performed in the U.S.A., but this article will attempt to discuss this problem in the light of current U.K. research, as well as its application to maturity guarantees for equity-linked policies.

Type
Research Article
Information
Journal of the Staple Inn Actuarial Society , Volume 20 , Issue 3 , 1973 , pp. 202 - 215
Copyright
Copyright © Institute of Actuaries Students' Society 1973

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References

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