Stock repurchase with an adaptive reservation price: a study of the greedy policy

DOI10.1016/J.ORL.2010.11.006zbMATH Open1208.91155OpenAlexW1977482370MaRDI QIDQ631204FDOQ631204

Authors: Ye Lu, Asuman Ozdaglar, David Simchi-Levi 

Publication date: 22 March 2011

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/101735

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zbMATH Keywords

dynamic programmingreservation pricestock repurchase

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Optimal basket liquidation for CARA investors is deterministic
• Optimal Liquidity Trading*
• Optimal execution strategies in limit order books with general shape functions
• Title not available (Why is that?)
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

Cited In (2)

• Accelerated Share Repurchases Under Stochastic Volatility
• The decision model for minimum quantities of stock repurchases

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