Optimal selling of an asset under incomplete information
type: Item
instance of: scholarly article
title: Optimal selling of an asset under incomplete information
zbMATH Open document ID: 1230.91168
DOI: 10.1155/2011/543590
author: Erik Ekström
author: B. Lu
published in: International Journal of Stochastic Analysis
publication date: 2012-01-03T00:00:00Z
review text: Summary: We consider an agent who wants to liquidate an asset with unknown drift. The agent believes that the drift takes one of two given values and has initially an estimate for the probability of either of them. As time goes by, the agent observes the asset price and can therefore update his beliefs about the probabilities for the drift distribution. We formulate an optimal stopping problem that describes the liquidation problem, and we demonstrate that the optimal strategy is to liquidate the first time the asset price falls below a certain time-dependent boundary. Moreover, this boundary is shown to be monotonically increasing, continuous and to satisfy a nonlinear integral equation.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 5994161
Wikidata QID: Q58688919
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2011/543590
OpenAlex ID: W1979823188
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description: scientific article; zbMATH DE number 5994161