Optimal Stopping Methods for Investment Decisions: A Literature Review

Zhenya Liu () and Yuhao Mu
Additional contact information
Zhenya Liu: School of Finance, Renmin University of China, Beijing 100872, China
Yuhao Mu: School of Finance, Renmin University of China, Beijing 100872, China

IJFS, 2022, vol. 10, issue 4, 1-23

Abstract: Investors decide the best time to take a given action by maximizing their utility function while taking into account current information and the underlying process in the optimal stopping model. Option pricing, sequential analysis, disorder problems, and other problems requiring time decision-making are all examples of this type of problem. A lot of literature has studied optimal stopping models and put forward the corresponding solutions. Investors in financial markets must also know when to buy and sell, so timing is crucial. This paper presents a classified review of the literature on optimal stopping models, followed by a summary of the strategies that can be used in financial markets to make investment decisions using optimal stopping methods.

Keywords: optimal stopping; sequential analysis; disorder problem; regime-switching (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7072/10/4/96/pdf (application/pdf)
https://www.mdpi.com/2227-7072/10/4/96/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:10:y:2022:i:4:p:96-:d:941528

Access Statistics for this article

IJFS is currently edited by Ms. Hannah Lu

More articles in IJFS from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().