Minimax perfect stopping rules for selling an asset near its ultimate maximum

DOI10.1007/S11590-016-1091-8MaRDI QIDQ1686562zbMATH OpenOpenAlexFDO

Authors D. B. Rokhlin

Publication date 15 December 2017

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.00175

zbMATH Keywords

minimaxoptimal stoppingmaximum processregretperfect stopping rule

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30)

Abstract: We study the problem of selling an asset near its ultimate maximum in the minimax setting. The regret-based notion of a perfect stopping time is introduced. A perfect stopping time is uniquely characterized by its optimality properties and has the following form: one should sell the asset if its price deviates from the running maximum by a certain time-dependent quantity. The related selling rule improves any earlier one and cannot be improved by further delay. The results, which are applicable to a quite general price model, are illustrated by several examples.

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Cites work

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• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
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Cited in

(5)

• Optimal timing for an indivisible asset sale
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• Constrained maximum variance stopping for a finite horizon increasing random walk
• An optimal double stopping rule for a buying-selling problem
• Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift

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