An Optimal Decision Rule for a Multiple Selling Problem with a Variable Rate of Offers

Georgy Sofronov
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Georgy Sofronov: Department of Mathematics and Statistics, Macquarie University, Sydney, NSW 2109, Australia

Mathematics, 2020, vol. 8, issue 5, 1-11

Abstract: An asset selling problem is one of well-known problems in the decision making literature. The problem assumes a stream of bidders who would like to buy one or several identical objects (assets). Offers placed by the bidders once rejected cannot be recalled. The seller is interested in an optimal selling strategy that maximizes the total expected revenue. In this paper, we consider a multi-asset selling problem when the seller wants to sell several identical assets over a finite time horizon with a variable number of offers per time period and no recall of past offers. We consider the problem within the framework of the optimal stopping theory. Using the method of backward induction, we find an optimal sequential procedure which maximizes the total expected revenue in the selling problem with independent observations.

Keywords: dynamic programming; sequential decision analysis; optimal stopping; multiple stopping rules; asset selling (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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