Minimax perfect stopping rules for selling an asset near its ultimate maximum
classification
💱 q-fin.PM
keywords
assetmaximumperfectsellingstoppingminimaxnearprice
read the original abstract
We study the problem of selling an asset near its ultimate maximum in the minimax setting. The regret-based notion of a perfect stopping time is introduced. A perfect stopping time is uniquely characterized by its optimality properties and has the following form: one should sell the asset if its price deviates from the running maximum by a certain time-dependent quantity. The related selling rule improves any earlier one and cannot be improved by further delay. The results, which are applicable to a quite general price model, are illustrated by several examples.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.