solidot新版网站常见问题,请点击这里查看。
消息
本文已被查看3351次
Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon. (arXiv:1711.03188v1 [math.OC])
来源于:arXiv
In this research we study a finite horizon optimal purchasing problem for
items with a mean reverting price process. Under this model a fixed amount of
identical items are bought under a given deadline, with the objective of
minimizing the cost of their purchasing price and associated holding cost. We
prove that the optimal policy for minimizing the expected cost is in the form
of a time-variant threshold function that defines the price region in which a
purchasing decision is optimal. We construct the threshold function with a
simple algorithm that is based on a dynamic programming procedure that
calculates the cost function. As part of this procedure we also introduce
explicit equations for the crossing time probability and the overshoot
expectation of the price process with respect to the threshold function. The
characteristics and dynamics of the threshold function are analyzed with
respect to time, holding cost, and different parameters of the price process,
and yields meaningful 查看全文>>