An optimal decision rule for a multiple selling problem with a variable rate of offers

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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.
Original languageEnglish
Article number690
Pages (from-to)1-11
Number of pages11
JournalMathematics
Volume8
Issue number5
DOIs
Publication statusPublished - May 2020

Bibliographical note

Copyright the Author(s) 2020. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

  • dynamic programming
  • sequential decision analysis
  • optimal stopping
  • multiple stopping rules
  • asset selling

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