LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING

DOI10.1111/j.1467-9965.2008.00351.xzbMath1214.91106MaRDI QIDQ3005847

Moustapha Pemy, G. George Yin, Qing Zhang

Publication date: 9 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00351.x

zbMATH Keywords

optimal control; regime-switching model; state constraint; selling rule

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Constrained optimality for controlled switching diffusions with an application to stock purchasing, OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK, Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact, Regular finite fuel stochastic control problems with exit time, Optimal algorithms for trading large positions, Optimal decision for selling an illiquid stock, Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods, Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications, Portfolio strategy of financial market with regime switching driven by geometric Lévy process, Block trading: building up a stock position under a regime switching model, Infinite horizon controlled diffusions with randomly varying and state-dependent discount cost rates, Trading a mean-reverting asset: buy low and sell high, SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS

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