Title :
On a trading problem with market limitations
Author_Institution :
Inst. of Math., Polish Acad. of Sci., Warsaw
Abstract :
The problem considered belongs to the class of single item inventory-purchase problems. In the paper an optimal, purchase-sell policy which minimizes an expected finite-horizon cost is determined. A horizon property of optimal policies is examined
Keywords :
Markov processes; commodity trading; decision theory; dynamic programming; finance; expected finite-horizon cost; horizon property; market limitations; optimal policies; optimal purchase-sell policy; single item inventory-purchase problems; trading problem; Cost function; Dynamic programming; Economic forecasting; Extraterrestrial measurements; Marketing and sales; Markov processes; Mathematics; Q measurement; Random variables; State-space methods;
Conference_Titel :
Emerging Technologies and Factory Automation, 1995. ETFA '95, Proceedings., 1995 INRIA/IEEE Symposium on
Conference_Location :
Paris
Print_ISBN :
0-7803-2535-4
DOI :
10.1109/ETFA.1995.496821
