When to sell an asset amid anxiety about drawdowns

DOI10.1111/MAFI.12278MaRDI QIDQ5855962zbMATH OpenOpenAlexFDO

Authors Neofytos Rodosthenous, Hongzhong Zhang

Publication date 23 March 2021

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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