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arxiv: 1601.00175 · v2 · pith:VFBXEIFGnew · submitted 2016-01-02 · 💱 q-fin.PM

Minimax perfect stopping rules for selling an asset near its ultimate maximum

classification 💱 q-fin.PM
keywords assetmaximumperfectsellingstoppingminimaxnearprice
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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.

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