In this work,we study a right time for an investor to stop the investment among multi-assets over a given investment horizon so as to obtainmaximum profit.We formulate it to a two-stage problem.The main problem is not...In this work,we study a right time for an investor to stop the investment among multi-assets over a given investment horizon so as to obtainmaximum 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.展开更多
基金This work is supported by the National Natural Science Foundation of China(Nos.11571124 and 11671158)the doctoral start-up Grant of Natural Science Foundation of Guangdong Province,China(No.2017A030310167)the Opening Project of Guangdong Province Key Laboratory of Computational Science at the Sun Yat-sen University(No.201808)and Unversity of Macao(No.MYGR2018-00047-FST).
文摘In this work,we study a right time for an investor to stop the investment among multi-assets over a given investment horizon so as to obtainmaximum 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.
