Abstract Page Download .Share .Email .Add to Briefcase. Strictly speaking, we aim to determine an optimal selling buying strategy. Keywords optimal strategy, average price, optimal stopping problem, variational inequality JEL Classifications Q80 Q35, G60, G40, B91, B28 Working Paper Series Date posted 28, 2008 Last revised 28, Suggested CitationDai, Min and Zhong, Yifei,Optimal Stock SellingBuying Strategy with Reference to the Ultimate AverageJuly 15, 2008. It turns out that the optimal selling strategy is bangbang, which is the same as that obtained by Shiryaev, Xu and Zhou 2008 taking the ultimate maximum of the stock price as the benchmark.
Available at SSRN Export this? Contact InformationMin Dai Contact Author National University of Singapore Department of MathematicsJuly 15, Abstract We are concerned with the optimal decision to sell or buy stock in given period with reference to the ultimate average of the stock price. However, the optimal buying strategy can be feedback one subject to the type of average and parameter values. Abstract Page Download .Share .Email .Add to Briefcase.
Available at SSRN Export this? Contact InformationMin Dai Contact Author National University of Singapore Department of MathematicsJuly 15, Abstract We are concerned with the optimal decision to sell or buy stock in given period with reference to the ultimate average price over the period. However, the optimal buying strategy can be feedback one subject to the type of average and parameter values. Abstract Page Download .Share .Email .Add to Briefcase. Del. icio.
CiteULike .Permalink Using the URL or DOI link below willensure access to this page indefinitely Click Location Below to Start Download File name SSRNid1182842. pdf Size 0K New York, USAIllinois, USABrussels, BelgiumSeoul, KoreaCalifornia, USA Optimal Stock SellingBuying Strategy with Reference to the Ultimate AverageJuly 15, 2008. We provide partial differential equation approach to study the optimal strategy. Available at SSRN Export this? Contact InformationMin Dai Contact Author National University of Singapore Department of Mathematics email Department of MathematicsSingapore Singapore.
Tags: ge, Stock Selling
