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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… Click to show full 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.
Journal Title: Optimization Letters
Year Published: 2017
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