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• W4210285087 abstract "The filter rule is a popular investment strategy, but its effectiveness and rationality are still controversial. We consider the process of the maximum stock price and the short loss aversion in the utility function and establish an optimal stopping time model. Our model describes the decision-making process of investors applying the filter rule strategy. The filter size of our model is dynamic and depends both on the characteristics of the price process and the investor utility function. A series of numerical simulations present the optimal times to sell the stock under different situations. We also conduct empirical analyses on the Shanghai Stock Exchange Index and the S&P 500 Index, and prove that the filter rule is effective." @default.
• W4210285087 created "2022-02-08" @default.
• W4210285087 creator A5067318984 @default.
• W4210285087 creator A5072600674 @default.
• W4210285087 date "2022-03-01" @default.
• W4210285087 modified "2023-10-18" @default.
• W4210285087 title "Investor behavior and filter rule revisiting" @default.
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• W4210285087 doi "https://doi.org/10.1016/j.jbef.2022.100631" @default.
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