Stock Trading: An Optimal Selling Rule
SIAM Journal on Control and Optimization
Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
SIAM Journal on Optimization
A Model for Reversible Investment Capacity Expansion
SIAM Journal on Control and Optimization
A trend-following strategy: Conditions for optimality
Automatica (Journal of IFAC)
Trend Following Trading under a Regime Switching Model
SIAM Journal on Financial Mathematics
| Hi-index | 22.15 |
This paper is concerned with an optimal trading (buy and sell) rule. The underlying asset price is governed by a mean-reverting model. The objective is to buy and sell the asset so as to maximize the overall return. Slippage cost is imposed on each transaction. The associated HJB equations (quasi-variational inequalities) are used to characterize the value functions. It is shown that the solution to the original optimal stopping problem can be obtained by solving two quasi-algebraic equations. Sufficient conditions are given in the form of a verification theorem. A numerical example is reported to demonstrate the results.