Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index

DOI10.1080/07474946.2018.1427979zbMath1390.60154OpenAlexW2789282454WikidataQ130139735 ScholiaQ130139735MaRDI QIDQ4639222

Antonietta Mira, Bruno Buonaguidi

Publication date: 3 May 2018

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2018.1427979

zbMATH Keywords

diffusion processesgeometric Brownian motiontrading strategiesoptimal variance stopping problems

Mathematics Subject Classification ID

Quadratic programming (90C20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (3)

Dynamic optimality in optimal variance stopping problems ⋮ On time-inconsistent stopping problems and mixed strategy stopping times ⋮ Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application

Cites Work

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• A Theory of the Term Structure of Interest Rates
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• Variance Optimal Stopping for Geometric Lévy Processes

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