论文信息 - On stop-loss strategies for stock investments

On stop-loss strategies for stock investments

This paper studies the expected return of a stock investment with a stop-loss strategy. The probability density function (p.d.f.) for the investment value is formulated as the solution for a boundary value problem of a partial differential equation (PDE). Then, the expected value is manipulated as a function of the stop-loss probability. Two examples are solved by an analytic method. Finally, we design a boundary element method (BEM) to solve the boundary value problem for a general stop-loss criterion.

Shih-yu Shen | Andrew Minglong Wang | A. M. Wang | Shih-yu Shen

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