The discrete sell or hold problem with constraints on asset values

DOI10.1016/J.TCS.2015.07.031MaRDI QIDQ496023zbMATH OpenOpenAlexFDO

Authors Ye Du

Publication date 16 September 2015

Published in Theoretical Computer Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.6131

zbMATH Keywords

approximation algorithmdiscrete sell or hold problemNP-hardness

Mathematics Subject Classification ID

Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17) Analysis of algorithms and problem complexity (68Q25) Approximation algorithms (68W25) Integer programming (90C10) Financial applications of other theories (91G80)

Abstract: The discrete sell or hold problem (DSHP), which is introduced in cite{H12}, is studied under the constraint that each asset can only take a constant number of different values. We show that if each asset can take only two values, the problem becomes polynomial-time solvable. However, even if each asset can take three different values, DSHP is still NP-hard. An approximation algorithm is also given under this setting.

Recommendations

• Sell or hold: A simple two-stage stochastic combinatorial optimization problem
• The finite horizon investor problem with a budget constraint
• Approximating the optimal sequence of acquisitions and sales with a capped budget
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• A global optimization problem in portfolio selection

Cites work

• A factor \(\frac {1}{2}\) approximation algorithm for two-stage stochastic matching problems
• Hedging uncertainty: approximation algorithms for stochastic optimization problems
• scientific article; zbMATH DE number 3639144 (Why is no real title available?)
• LP Rounding Approximation Algorithms for Stochastic Network Design
• On Two-Stage Stochastic Minimum Spanning Trees
• Sell or hold: A simple two-stage stochastic combinatorial optimization problem

Cited in

(1)

• Sell or hold: A simple two-stage stochastic combinatorial optimization problem

This page was built for publication: The discrete sell or hold problem with constraints on asset values

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q496023)