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

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  • Sofronov, Georgy

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.

Suggested Citation

  • Sofronov, Georgy, 2013. "An optimal sequential procedure for a multiple selling problem with independent observations," European Journal of Operational Research, Elsevier, vol. 225(2), pages 332-336.
  • Handle: RePEc:eee:ejores:v:225:y:2013:i:2:p:332-336
    DOI: 10.1016/j.ejor.2012.09.042
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    References listed on IDEAS

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    1. 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.
    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.
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    5. S. Christian Albright, 1974. "Optimal Sequential Assignments with Random Arrival Times," Management Science, INFORMS, vol. 21(1), pages 60-67, September.
    6. Preater, J., 1993. "A note on monotonicity in optimal multiple stopping problems," Statistics & Probability Letters, Elsevier, vol. 16(5), pages 407-410, April.
    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. 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.
    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 155-189, June.
    10. 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.
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    Cited by:

    1. Georgy Yu. Sofronov, 2016. "A multiple optimal stopping rule for a buying–selling problem with a deterministic trend," Statistical Papers, Springer, vol. 57(4), pages 1107-1119, December.

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