Optimal selling time in stock market over a finite time horizon

DOI10.1007/S10255-012-0169-ZMaRDI QIDQ692685zbMATH OpenOpenAlexFDO

Authors S. P. Yung, Wei Zhou, Sheung Chi Phillip Yam

Publication date 6 December 2012

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-012-0169-z

zbMATH Keywords

local timeoptimal stoppingbuy and holdstock selling

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40) General equilibrium theory (91B50)

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Cites work

• scientific article; zbMATH DE number 1724306 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 5774588 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A change-of-variable formula with local time on curves
• A general `bang-bang' principle for predicting the maximum of a random walk
• A unified ``bang-bang principle with respect to \({\mathcal R}\)-invariant performance benchmarks
• An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
• Optimal prediction of the ultimate maximum of Brownian motion
• Optimal stock selling/buying strategy with reference to the ultimate average
• Selling a stock at the ultimate maximum
• Stopping Brownian motion without anticipation as close as possible to its ultimate maximum
• The trap of complacency in predicting the maximum
• Thou shalt buy and hold
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy

Cited in

(10)

• Examples of optimal prediction in the infinite horizon case
• Buying and selling an asset over the finite time horizon: a non-parametric approach
• OPTIMAL EXECUTION HORIZON
• Optimal stock selling based on the global maximum
• Optimal mean-variance selling strategies
• Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou
• OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
• Selling a stock at the ultimate maximum
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
• Minimizing the Expected Market Time to Reach a Certain Wealth Level

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