In this work, we study a right time for an investor to stop the investment among multiassets over a given investment horizon so as to obtain maximum profit. We formulate it to a two-stage problem. The main problem is not a standard optimal stopping problem due to the non-adapted term in the objective function, and we turn it to a standard one by stochastic analysis. The subproblem with control variable in the drift and volatility terms is solved first via stochastic control method. A numerical example is presented to illustrate the efficiency of the theoretical results.
Xian-Ping Wu, Seakweng Vong, Wen-Xin Zhou
. Optimal Stopping Time of a Portfolio Selection Problem with Multi-assets[J]. Journal of the Operations Research Society of China, 2021
, 9(1)
: 163
-179
.
DOI: 10.1007/s40305-018-0223-5
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