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An optimal sequential procedure for a multiple selling problem with independent observations

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  • Sofronov, Georgy
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    Abstract

    We consider a sequential problem of selling K identical assets over the finite time horizon with a fixed number of offers per time period and no recall of past offers. The objective is to find an optimal sequential procedure which maximizes the total expected revenue. In this paper, we derive an effective number of stoppings for an optimal sequential procedure for the selling problem with independent observations.

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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 225 (2013)
    Issue (Month): 2 ()
    Pages: 332-336

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    Handle: RePEc:eee:ejores:v:225:y:2013:i:2:p:332-336

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    Web page: http://www.elsevier.com/locate/eor

    Related research

    Keywords: Dynamic programming; Sequential decision analysis; Optimal stopping; Multiple stopping rules; Selling problem;

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    1. S. Christian Albright, 1977. "A Bayesian Approach to a Generalized House Selling Problem," Management Science, INFORMS, vol. 24(4), pages 432-440, December.
    2. Chun, Young H. & Plante, Robert D. & Schneider, Helmut, 2002. "Buying and selling an asset over the finite time horizon: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 136(1), pages 106-120, January.
    3. Donald B. Rosenfield & Roy D. Shapiro & David A. Butler, 1983. "Optimal Strategies for Selling an Asset," Management Science, INFORMS, vol. 29(9), pages 1051-1061, September.
    4. Stein, William E. & Seale, Darryl A. & Rapoport, Amnon, 2003. "Analysis of heuristic solutions to the best choice problem," European Journal of Operational Research, Elsevier, vol. 151(1), pages 140-152, November.
    5. S. Christian Albright, 1974. "Optimal Sequential Assignments with Random Arrival Times," Management Science, INFORMS, vol. 21(1), pages 60-67, September.
    6. David, Israel, 1998. "Explicit results for a class of asset-selling problems," European Journal of Operational Research, Elsevier, vol. 110(3), pages 576-584, November.
    7. David, Israel & Levi, Ofer, 2001. "Asset-selling problems with holding costs," International Journal of Production Economics, Elsevier, vol. 71(1-3), pages 317-321, May.
    8. Preater, J., 1993. "A note on monotonicity in optimal multiple stopping problems," Statistics & Probability Letters, Elsevier, vol. 16(5), pages 407-410, April.
    9. Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey: Part I," Economic Inquiry, Western Economic Association International, vol. 14(2), pages 155-89, June.
    10. Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey," Economic Inquiry, Western Economic Association International, vol. 14(3), pages 347-68, September.
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