Optimal selling of an asset under incomplete information (Q655226): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1155/2011/543590 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1979823188 / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE / rank
 
Normal rank
Property / cites work
 
Property / cites work: An explicit solution for an optimal stopping/optimal control problem which models an asset sale / rank
 
Normal rank
Property / cites work
 
Property / cites work: Selling a stock at the ultimate maximum / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4139359 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3378055 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2771118 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization with partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Investment Timing Under Incomplete Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Comment on “Investment Timing Under Incomplete Information” / rank
 
Normal rank
Property / cites work
 
Property / cites work: Properties of American option prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Stopping and the American Put / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4368791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ON THE AMERICAN OPTION PROBLEM / rank
 
Normal rank

Latest revision as of 19:54, 4 July 2024

scientific article
Language Label Description Also known as
English
Optimal selling of an asset under incomplete information
scientific article

    Statements

    Optimal selling of an asset under incomplete information (English)
    0 references
    0 references
    0 references
    0 references
    3 January 2012
    0 references
    Summary: We consider an agent who wants to liquidate an asset with unknown drift. The agent believes that the drift takes one of two given values and has initially an estimate for the probability of either of them. As time goes by, the agent observes the asset price and can therefore update his beliefs about the probabilities for the drift distribution. We formulate an optimal stopping problem that describes the liquidation problem, and we demonstrate that the optimal strategy is to liquidate the first time the asset price falls below a certain time-dependent boundary. Moreover, this boundary is shown to be monotonically increasing, continuous and to satisfy a nonlinear integral equation.
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references