英文标题：
《Minimax perfect stopping rules for selling an asset near its ultimate
maximum》
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作者：
Dmitry B. Rokhlin
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最新提交年份：
2016
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英文摘要：
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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中文摘要：
我们研究了在极小极大条件下，在接近其最终最大值时出售资产的问题。引入了基于后悔的完美停车时间概念。完美停止时间的唯一特征是其最优性，并具有以下形式：如果资产的价格偏离运行最大值一定的时间依赖量，则应出售资产。相关的销售规则改进了之前的规则，不能再延迟了。这些结果适用于一个相当普遍的价格模型，并通过几个例子加以说明。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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