On stop-loss strategies for stock investments

Shih-Yu Shen, Andrew Minglong Wang

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

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 language English 317-337 21 Applied Mathematics and Computation 119 2-3 https://doi.org/10.1016/S0096-3003(99)00229-5 Published - 2001 Apr 15

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Boundary Value Problem
Loss Probability
Boundary value problems
Expected Value
Probability density function
Boundary Elements
Partial differential equation
Boundary element method
Partial differential equations
Strategy
Design

All Science Journal Classification (ASJC) codes

• Computational Mathematics
• Applied Mathematics

Cite this

Shen, Shih-Yu ; Wang, Andrew Minglong. / On stop-loss strategies for stock investments. In: Applied Mathematics and Computation. 2001 ; Vol. 119, No. 2-3. pp. 317-337.
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On stop-loss strategies for stock investments. / Shen, Shih-Yu; Wang, Andrew Minglong.

In: Applied Mathematics and Computation, Vol. 119, No. 2-3, 15.04.2001, p. 317-337.

Research output: Contribution to journalArticle

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