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Buying and selling an asset over the finite time horizon: A non-parametric approach

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  • Chun, Young H.
  • Plante, Robert D.
  • Schneider, Helmut

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  • Chun, Young H. & Plante, Robert D. & Schneider, Helmut, 2002. "Buying and selling an asset over the finite time horizon: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 136(1), pages 106-120, January.
    • Handle: RePEc:eee:ejores:v:136:y:2002:i:1:p:106-120
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    1. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    2. D. V. Lindley, 1961. "Dynamic Programming and Decision Theory," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 10(1), pages 39-51, March.
    3. Donald B. Rosenfield & Roy D. Shapiro & David A. Butler, 1983. "Optimal Strategies for Selling an Asset," Management Science, INFORMS, vol. 29(9), pages 1051-1061, September.
    4. Schachter, Stanley & Gerin, William & Hood, Donald C. & Anderassen, Paul, 1985. "I. Was the South Sea Bubble a random walk?," Journal of Economic Behavior & Organization, Elsevier, vol. 6(4), pages 323-329, December.
    5. Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey: Part I," Economic Inquiry, Western Economic Association International, vol. 14(2), pages 155-189, June.
    6. Hak Chun, Young, 1996. "Selecting the best choice in the weighted secretary problem," European Journal of Operational Research, Elsevier, vol. 92(1), pages 135-147, July.
    7. Atle Seierstad, 1992. "Reservation Prices in Optimal Stopping," Operations Research, INFORMS, vol. 40(2), pages 409-415, April.
    8. Whipple, David, 1973. "A Generalized Theory of Job Search," Journal of Political Economy, University of Chicago Press, vol. 81(5), pages 1170-1188, Sept.-Oct.
    9. Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey," Economic Inquiry, Western Economic Association International, vol. 14(3), pages 347-368, September.
    10. Telser, L G, 1973. "Searching for the Lowest Price," American Economic Review, American Economic Association, vol. 63(2), pages 40-49, May.
    11. Chun, Young H. & Moskowitz, Herbert & Plante, Robert D., 1994. "Dynamic programming formulation of the group interview problem with a general utility function," European Journal of Operational Research, Elsevier, vol. 78(1), pages 81-92, October.
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    Cited by:

    1. Georgy Yu. Sofronov, 2020. "An Optimal Double Stopping Rule for a Buying-Selling Problem," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 1-12, March.
    2. Sofronov, Georgy, 2013. "An optimal sequential procedure for a multiple selling problem with independent observations," European Journal of Operational Research, Elsevier, vol. 225(2), pages 332-336.
    3. Georgy Yu. Sofronov, 2016. "A multiple optimal stopping rule for a buying–selling problem with a deterministic trend," Statistical Papers, Springer, vol. 57(4), pages 1107-1119, December.
    4. Georgy Sofronov, 2020. "An Optimal Decision Rule for a Multiple Selling Problem with a Variable Rate of Offers," Mathematics, MDPI, vol. 8(5), pages 1-11, May.
    5. Chun, Young H., 2015. "Multi-attribute sequential decision problem with optimizing and satisficing attributes," European Journal of Operational Research, Elsevier, vol. 243(1), pages 224-232.

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