Research

All

Optimal Stopping Time in Stock Markets

  • Speaker: Yanqing Ma (SUSTech)

  • Time: Mar 15, 2021, 15:00-16:00

  • Location: Room 102, Block 2, Lychee Hills

Abstract: In this talk, the optimal selling strategy is modeled  to maximize the expectation of the ratio of the selling price to the running maximum over a random terminal time, in particular, the square utility function is also considered. We adopt a stochastic analysis approach to derive the problem solution which is a simple bang-bang structure.

南方科技大学数学系微信公众号

© 2015 All Rights Reserved. 粤ICP备14051456号

Address: No 1088,xueyuan Rd., Xili, Nanshan District,Shenzhen,Guangdong,China 518055 Tel: +86-755-8801 0000