W. T. Ziemba, S. Lleo and M. V. Zhitlukhin suggested an Exit Model for selling an asset based on Change Point Detection Theory from the field of Statistical Quality Control


It is also discussed in Zhitlukhin's thesis: https://www.research.manchester.ac.uk/portal/files/54548175/FULL_TEXT.PDF

The numerical procedure they suggest is not clear to me, I wanted to replicate the result, can some post a pseudo code or procedure, for calculation and evolution of 'b'


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