Selling a stock at the ultimate maximum
From MaRDI portal
Publication:2389600
DOI10.1214/08-AAP566zbMath1201.60037arXiv0908.1014MaRDI QIDQ2389600
Publication date: 17 July 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.1014
60J65: Brownian motion
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
62L15: Optimal stopping in statistics
Related Items
OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE, Optimal Closing of a Momentum Trade, Optimal detection of a hidden target: the median rule, Optimal selling of an asset under incomplete information, Optimal selling time in stock market over a finite time horizon, Examples of optimal prediction in the infinite horizon case, Three-dimensional Brownian motion and the golden ratio rule, A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk, Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’, Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
Cites Work
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