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Optimal Advertizing Policy for Selling a Single Asset

Published online by Cambridge University Press:  27 July 2009

David Assaf  and
Benny Levikson
David Assaf
Affiliation:
Department of Statistics The Hebrew University of Jerusalem, Jerusalem, Israel, 91905
Benny Levikson
Affiliation:
Department of Statistics University of Haifa, Haifa, Israel, 31999
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Extract

Suppose we have a single asset that we would like to sell. As time goes by, independent and identically distributed offers with a common known distribution F are given to us. At any given moment, we may either accept the current offer or reject it, thereby losing it forever. The rate at which offers arrive follows a nonhomogeneous Poisson process whose instantaneous intensity is under our control, using advertizing in a manner to be described. Our objective is, roughly, that of maximizing the total discounted expected reward composed of the offer we decide to accept, minus the total advertizing costs.

Information

Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 5 , Issue 1 , January 1991 , pp. 89 - 100
Copyright
Copyright © Cambridge University Press 1991

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