The Discrete Sell or Hold Problem with Constraints on Asset Values
Abstract
The discrete sell or hold problem (DSHP), which is introduced in H12, is studied under the constraint that each asset can only take a constant number of different values. We show that if each asset can take only two values, the problem becomes polynomial-time solvable. However, even if each asset can take three different values, DSHP is still NP-hard. An approximation algorithm is also given under this setting.
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