Optimal filter rules for selling stocks in the emerging stock markets

DOI10.1007/S10479-021-04381-WMaRDI QIDQ6148784zbMATH OpenOpenAlexFDO

Authors Sabri Boubaker, Xuyuan Han, Zhen-Ya Liu, Yaosong Zhan

Publication date 8 February 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-021-04381-w

zbMATH Keywords

financeoptimal stoppingemerging stock marketsfilter rule

Mathematics Subject Classification ID

Decision theory (91B06) Diffusion processes (60J60) Portfolio theory (91G10) Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 852301 (Why is no real title available?)
• A direct solution method for pricing options involving the maximum process
• Advances in prospect theory: cumulative representation of uncertainty
• An application of Lemke's method to a class of Markov decision problems
• Cusum techniques for technical trading in financial markets
• Double optimal stopping of a risk process
• Expected utility maximization of optimal stopping problems
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• On dynamic programming principle for stochastic control under expectation constraints
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal stopping of linear diffusions with random discounting

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