英文标题：
《Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon》
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作者：
Alon Dourban and Liron Yedidsion
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最新提交年份：
2017
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英文摘要：
  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 practical insights, as well as theoretical insights.
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中文摘要：
在这项研究中，我们研究了具有均值回复价格过程的物品的有限期最优采购问题。在这种模式下，在给定的期限内购买固定数量的相同物品，目的是最小化其购买价格和相关持有成本。我们证明了最小化期望成本的最优策略是时变阈值函数的形式，它定义了采购决策最优的价格区域。我们使用一种基于计算成本函数的动态规划过程的简单算法构造阈值函数。作为该过程的一部分，我们还介绍了交叉时间概率和价格过程相对于阈值函数的超调期望的显式方程。从时间、持有成本和价格过程的不同参数方面分析了阈值函数的特征和动态，得出了有意义的实践见解和理论见解。
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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