When to sell an asset amid anxiety about drawdowns

DOI10.1111/MAFI.12278OpenAlexW3030377661MaRDI QIDQ5855962FDOQ5855962

Authors: Neofytos Rodosthenous, Hongzhong Zhang 

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.00282

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zbMATH Keywords

optimal stoppingdrawdowntrailing stopsomega clockrandom discount rateLévy processstop-loss orders

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (3)

• Optimal timing of business conversion for solvency improvement
• Regular and exploratory resource extraction models considering sustainability
• Whether to sell or hold a stock

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