Explicit solutions for an optimal stock selling problem under a Markov chain model

DOI10.1016/J.JMAA.2014.06.049MaRDI QIDQ401059zbMATH OpenOpenAlexFDO

Authors Q. Zhang

Publication date 26 August 2014

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2014.06.049

zbMATH Keywords

optimal stoppingvariational inequalitiesMarkov chain asset

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• An optimal mean-reversion trading rule under a Markov chain model
• Stock trading: an optimal selling rule
• Optimal stock liquidation in a regime switching model with finite time horizon
• Optimal selling rule in a regime switching Lévy market
• The right time to sell a stock whose price is driven by Markovian noise

Cites work

• scientific article; zbMATH DE number 2133115 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A Model for Reversible Investment Capacity Expansion
• American option prices in a Markov chain market model
• An explicit solution for an optimal stopping/optimal control problem which models an asset sale
• Continuous-time Markov chains and applications. A two-time-scale approach
• Long-term optimal investment strategies in the presence of adjustment costs
• Optimal selling rules in a regime switching model
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Selling a stock at the ultimate maximum
• Stochastic differential equations. An introduction with applications.
• Stock trading: an optimal selling rule
• The Markov Chain Market
• Trading a mean-reverting asset: buy low and sell high

Cited in

(5)

• Sell or hold: A simple two-stage stochastic combinatorial optimization problem
• An optimal mean-reversion trading rule under a Markov chain model
• Stock trading: an optimal selling rule
• The right time to sell a stock whose price is driven by Markovian noise
• Stability analysis for stochastic differential equations with infinite Markovian switchings

This page was built for publication: Explicit solutions for an optimal stock selling problem under a Markov chain model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q401059)