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https://doi.org/10.1007/s10957-011-9897-0
| Title: | Optimal Decision for Selling an Illiquid Stock | Authors: | Bian, B. Dai, M. Jiang, L. Zhang, Q. Zhong, Y. |
Keywords: | Optimal control Selling rule State constraint |
Issue Date: | Nov-2011 | Citation: | Bian, B., Dai, M., Jiang, L., Zhang, Q., Zhong, Y. (2011-11). Optimal Decision for Selling an Illiquid Stock. Journal of Optimization Theory and Applications 151 (2) : 402-417. ScholarBank@NUS Repository. https://doi.org/10.1007/s10957-011-9897-0 | Abstract: | This paper is concerned with liquidation of an illiquid stock. The stock price follows a fluid model which is dictated by the rates of selling and buying over time. The objective is to maximize the expected overall return. The method of constrained viscosity solution is used to characterize the dynamics governing the optimal reward function and the associated boundary conditions. Numerical examples are given to illustrate the results. © 2011 Springer Science+Business Media, LLC. | Source Title: | Journal of Optimization Theory and Applications | URI: | http://scholarbank.nus.edu.sg/handle/10635/103869 | ISSN: | 00223239 | DOI: | 10.1007/s10957-011-9897-0 |
| Appears in Collections: | Staff Publications |
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