Optimal Closing of a Momentum Trade

DOI10.1239/jap/1371648947zbMath1266.91095OpenAlexW1996178757MaRDI QIDQ5299563

Erik Ekström, Carl Lindberg

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648947

zbMATH Keywords

optimal stoppingmomentumtradingquickest detection problem for Brownian motion

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items (3)

Momentum liquidation under partial information ⋮ Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point ⋮ AMERICAN OPTIONS AND INCOMPLETE INFORMATION

Cites Work

• Optimal selling of an asset under incomplete information
• Selling a stock at the ultimate maximum
• Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
• Comment on “Investment Timing Under Incomplete Information”
• Thou shalt buy and hold
• Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE
• On a stochastic version of the trading rule “Buy and Hold”
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
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