A Unified “Bang-Bang” Principle with Respect to ${\ccR}$-Invariant Performance Benchmarks

DOI10.1137/S0040585X97986035zbMath1273.91432OpenAlexW2012350193MaRDI QIDQ2845222

Wei Zhou, Sheung Chi Phillip Yam, Siu Pang Yung

Publication date: 22 August 2013

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97986035

zbMATH Keywords

optimal stopping\(\mathcal R\)-invariant performance benchmarksbuy-and-hold or sell-at-once rule

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (1)

Optimal selling time in stock market over a finite time horizon

This page was built for publication: A Unified “Bang-Bang” Principle with Respect to ${\ccR}$-Invariant Performance Benchmarks