Optimal mean-variance selling strategies
DOI10.1007/S11579-015-0156-2zbMATH Open1334.60066OpenAlexW1957987388MaRDI QIDQ253104FDOQ253104
Authors: 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
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dynamic optimalityfree-boundary problemgeometric Brownian motionmean-variance analysisnonlinear optimal stoppingsmooth fitstatic optimality
Decision theory (91B06) Nonlinear programming (90C30) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (30)
- Mean-variance portfolio selection with dynamic targets for expected terminal wealth
- Optimal stock selling based on the global maximum
- A regular equilibrium solves the extended HJB system
- Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
- A verification theorem for optimal stopping problems with expectation constraints
- On time-inconsistent stopping problems and mixed strategy stopping times
- Time-inconsistent mean-field optimal stopping: a limit approach
- Time consistent stopping for the mean-standard deviation problem -- the discrete time case
- Optimal selling time in stock market over a finite time horizon
- Moment-constrained optimal dividends: precommitment and consistent planning
- Monotone Sharpe ratios and related measures of investment performance
- Distribution‐constrained optimal stopping
- OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
- Dynamic optimality in optimal variance stopping problems
- Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
- On time-inconsistent stochastic control in continuous time
- On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
- Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
- Constrained maximum variance stopping for a finite horizon increasing random walk
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Optimal variance stopping with linear diffusions
- Time-consistent stopping under decreasing impatience
- A remark on optimal variance stopping problems
- Viscosity Solutions for Obstacle Problems on Wasserstein Space
- On the time consistent solution to optimal stopping problems with expectation constraint
- Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
- Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift
- Nonlinear PDE approach to time-inconsistent optimal stopping
- Optimal mean-variance portfolio selection
- Optimal stopping with expectation constraints
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