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OPTIMAL TRADING OF AN ASSET IN THE OPEN MARKET: A DYNAMIC PROGRAMMING APPROACH

机译:在公开市场上资产的最佳交易:一种动态规划方法

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Assuming that the asking price of an asset is a random observation from a known distribution function, we first consider the problem of buying an asset and selling it later within a limited period of time. The optimal strategies, Derived by means of a stochastic dynamic programming technique, maximize the present value of the expected profit. We then consider the infinite-stage model where there is no time constraint. As a special case of the optimal selling strategy with finite stages, we also propose an option valuation model for the case where the buyer has the right to purchase a certain asset at a specified exercise price within a specified time. The optimal buying and selling strategies derived in the paper can be extended to various directions such as the serially correlated process and the rank-based trading strategy.
机译:假设资产的要价是从已知分布函数中随机观察到的,我们首先考虑在有限的时间内购买资产并随后出售资产的问题。通过随机动态规划技术得出的最优策略使预期利润的现值最大化。然后,我们考虑无时间限制的无限阶段模型。作为具有有限阶段的最优销售策略的特例,我们还针对买方有权在指定时间内以指定行使价购买某种资产的情况,提出了一种期权评估模型。本文中得出的最佳买卖策略可以扩展到各个方向,例如序列相关过程和基于等级的交易策略。

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