Optimal mean-variance selling strategies

DOI10.1007/s11579-015-0156-2zbMath1334.60066OpenAlexW1957987388MaRDI QIDQ253104

Goran Peskir, Jesper Lund Pedersen

Publication date: 8 March 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-015-0156-2

zbMATH Keywords

geometric Brownian motionmean-variance analysisfree-boundary problemdynamic optimalitynonlinear optimal stoppingsmooth fitstatic optimality

Mathematics Subject Classification ID

Decision theory (91B06) Nonlinear programming (90C30) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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• On the Existence of a Consistent Course of Action when Tastes are Changing
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