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Rank-based selection strategies for the random walk process

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  • Chun, Young Hak
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-3T7HK9P-P/2/4fafc6b50a72d0157e09fa33e1652090
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    Bibliographic Info

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

    Volume (Year): 96 (1997)
    Issue (Month): 2 (January)
    Pages: 417-427

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    Handle: RePEc:eee:ejores:v:96:y:1997:i:2:p:417-427

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

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    1. Rothschild, Michael, 1974. "Searching for the Lowest Price When the Distribution of Prices Is Unknown," Journal of Political Economy, University of Chicago Press, vol. 82(4), pages 689-711, July/Aug..
    2. Howard M. Taylor, 1967. "Evaluating a Call Option and Optimal Timing Strategy in the Stock Market," Management Science, INFORMS, vol. 14(1), pages 111-120, September.
    3. Ashley, Richard A. & Patterson, Douglas M., 1986. "A Nonparametric, Distribution-Free Test for Serial Independence in Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 221-227, June.
    4. 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.
    5. Taylor, Stephen J., 1982. "Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 37-61, March.
    6. 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.
    7. Liu, Christina Y & He, Jia, 1991. " A Variance-Ratio Test of Random Walks in Foreign Exchange Rates," Journal of Finance, American Finance Association, vol. 46(2), pages 773-85, June.
    8. Chun, Young H. & Moskowitz, Herbert & Plante, Robert D., 1994. "Dynamic programming formulation of the group interview problem with a general utility function," European Journal of Operational Research, Elsevier, vol. 78(1), pages 81-92, October.
    9. Cerchi, Marlene & Havenner, Arthur, 1988. "Cointegration and stock prices : The random walk on wall street revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 333-346.
    10. Hlynka, M. & Sheahan, J. N., 1988. "The secretary problem for a random walk," Stochastic Processes and their Applications, Elsevier, vol. 28(2), pages 317-325, June.
    11. William M. Boyce, 1970. "Stopping Rules for Selling Bonds," Bell Journal of Economics, The RAND Corporation, vol. 1(1), pages 27-53, Spring.
    12. Whipple, David, 1973. "A Generalized Theory of Job Search," Journal of Political Economy, University of Chicago Press, vol. 81(5), pages 1170-88, Sept.-Oct.
    13. 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.
    14. Telser, L G, 1973. "Searching for the Lowest Price," American Economic Review, American Economic Association, vol. 63(2), pages 40-49, May.
    15. Michael Rothschild, 1974. "Searching for the Lowest Price When the Distribution of Prices Is Unknown: A Summary," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 1, pages 293-294 National Bureau of Economic Research, Inc.
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