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The Maximum Durability Problem for Investing in Gold Market

机译：金市场投资的最大耐久性问题

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摘要

In this paper, we propose the model for applying in durability of investment in gold market. The rate of return is considered for this study. The gold price from January 1990 to June 2014 is transformed to be rate of return. The Laplace distribution is chosen for calculating the capital at day of n because of the least statistic value of goodness of fit tests for the rate of return with the parameters b = 0.0063613232 and μ = 0.00010572. We simulate the situation for calculating the capital and the number of days. The number of situations is 1,000. We are interested in the longest number of days with acceptation the loss at a in order to consider the distribution associated with them. They are randomized by Laplace distribution. The distribution according with the longest number of days is used for calculating the maximum durability of investment in gold market. For the results, we found that the longest number of days is associated with the distribution of Inverse Gaussian (3P). Moreover, at confidence level 0.1 and risk level 0.9 the maximum durability of investment in gold market is 15,383 days.
机译：在本文中，我们提出了施加金市场投资耐久性的模型。本研究考虑了回报率。从1990年1月到2014年6月的黄金价格转变为回报率。选择LAPLACE分布，用于在N天计算资本，因为符合参数B = 0.0063613232和μ= 0.000572的返回率的良好测试的良好稳定性。我们模拟计算资本的情况和天数。情况的数量是1,000。我们对最长的天数受到接受，以考虑与他们相关的分布。它们是通过拉普拉斯分布随机化的。根据最多天数的分布用于计算金市场投资的最大耐久性。为结果，我们发现最长的天数与反高斯（3P）的分布有关。此外，在置信水平下0.1和风险等级0.9金市场投资的最大耐久性为15,383天。

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