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

DOI10.1007/S11590-016-1091-8zbMATH Open1410.90204arXiv1601.00175OpenAlexW2222739385MaRDI QIDQ1686562FDOQ1686562

D. B. Rokhlin

Publication date: 15 December 2017

Published in: Optimization Letters (Search for Journal in Brave)

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.

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

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zbMATH Keywords

minimaxoptimal stoppingmaximum processregretperfect stopping rule

Mathematics Subject Classification ID

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

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Cited In (2)

• Constrained maximum variance stopping for a finite horizon increasing random walk
• An optimal double stopping rule for a buying-selling problem

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