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A multiple optimal stopping rule for a buying–selling problem with a deterministic trend

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  • Georgy Yu. Sofronov

    (Macquarie University)

Abstract

We consider a buying–selling problem with the finite time horizon when several stops of a sequence of independent random variables can be made. The objective is to find an optimal sequential procedure which maximizes the total expected revenue. In this paper, we obtain an optimal stopping rule and the value of a game.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:stpapr:v:57:y:2016:i:4:d:10.1007_s00362-016-0776-5
    DOI: 10.1007/s00362-016-0776-5
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    References listed on IDEAS

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    1. 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.
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    3. 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.
    4. David, Israel & Levi, Ofer, 2001. "Asset-selling problems with holding costs," International Journal of Production Economics, Elsevier, vol. 71(1-3), pages 317-321, May.
    5. 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.
    6. David, Israel, 1998. "Explicit results for a class of asset-selling problems," European Journal of Operational Research, Elsevier, vol. 110(3), pages 576-584, November.
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