On stop-loss strategies for stock investments

Shih Yu Shen, Andrew Minglong Wang

Research output: Contribution to journalArticle

5 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)317-337
Number of pages21
JournalApplied Mathematics and Computation
Issue number2-3
Publication statusPublished - 2001 Apr 15

All Science Journal Classification (ASJC) codes

  • Computational Mathematics
  • Applied Mathematics

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