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Minimax perfect stopping rules for selling an asset near its ultimate maximum
Authors:Dmitry B Rokhlin
Institution:1.Institute of Mathematics, Mechanics and Computer Sciences,Southern Federal University,Rostov-on-Don,Russia
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.
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