Optimal stock selling/buying strategy with reference to the ultimate average

DOI10.1111/J.1467-9965.2010.00456.XMaRDI QIDQ4906544zbMATH OpenOpenAlexFDO

Authors Min Dai, Yifei Zhong

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00456.x

zbMATH Keywords

ultimate averageoptimal selling/buying strategytime-vesting

Mathematics Subject Classification ID

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

Recommendations

• The analysis of the stock buy-and-sell rule with reference to the ultimate average
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• scientific article; zbMATH DE number 558390

Cites work

• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
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• The Mathematics of Financial Derivatives
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• Thou shalt buy and hold
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(12)

• A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem
• Optimal stock selling based on the global maximum
• Optimal selling time in stock market over a finite time horizon
• A bilevel programming approach to double optimal stopping
• OPTIMAL EXECUTION HORIZON
• OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
• Optimal stopping time of a portfolio selection problem with multi-assets
• Selling a stock at the ultimate maximum
• Optimal redeeming strategy of stock loans under drift uncertainty
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
• On predicting the maximum of a semimartingale and the optimal moment to sell a stock
• The analysis of the stock buy-and-sell rule with reference to the ultimate average

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