A unified ``bang-bang principle with respect to R-invariant performance benchmarks

DOI10.1137/S0040585X97986035MaRDI QIDQ2845222zbMATH OpenOpenAlexFDO

Authors Sheung Chi Phillip Yam, S. P. Yung, Wei Zhou

Publication date 22 August 2013

Published in Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97986035

zbMATH Keywords

\(\mathcal R\)-invariant performance benchmarksbuy-and-hold or sell-at-once ruleoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10) Financial applications of other theories (91G80)

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