English

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

Portfolio Management 2016-07-15 v2

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.

Keywords

Cite

@article{arxiv.1601.00175,
  title  = {Minimax perfect stopping rules for selling an asset near its ultimate maximum},
  author = {Dmitry B. Rokhlin},
  journal= {arXiv preprint arXiv:1601.00175},
  year   = {2016}
}

Comments

13 pages; major revision