Optimal selling Rules for monetary invariant criteria: Tracking the maximum of a portfolio with negative drift
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Author / Producer
Date
2015-10
Publication Type
Journal Article
ETH Bibliography
yes
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published
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Journal / series
Volume
25 (4)
Pages / Article No.
754 - 788
Publisher
Wiley-Blackwell
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Edition / version
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Software
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Date created
Subject
Free boundary partial differential equation; Optimal prediction; Optimal stopping; Running maximum; Verification
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Notes
Published online 8 June 2013.