When to sell an asset amid anxiety about drawdowns

DOI10.1111/mafi.12278OpenAlexW3030377661MaRDI QIDQ5855962

Hongzhong Zhang, Neofytos Rodosthenous

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

zbMATH Keywords

optimal stoppingLévy processdrawdowntrailing stopsomega clockrandom discount ratestop-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)