Optimal decision for selling an illiquid stock

DOI10.1007/S10957-011-9897-0MaRDI QIDQ658561zbMATH OpenOpenAlexFDO

Authors Baojun Bian, Min Dai, Q. Zhang, Yifei Zhong, Lishang Jiang

Publication date 12 January 2012

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-011-9897-0

zbMATH Keywords

optimal controlstate constraintselling rule

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)

Recommendations

• Optimal sale strategies in illiquid markets
• Selling a large stock position: a stochastic control approach with state constraints
• Optimal stock liquidation in a regime switching model with finite time horizon
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Cites work

• scientific article; zbMATH DE number 2133115 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 695024 (Why is no real title available?)
• A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
• Guaranteed minimum withdrawal benefit in variable annuities
• Intensity-based framework and penalty formulation of optimal stopping problems
• Liquidation of a large block of stock with regime switching
• Optimal Control with State-Space Constraint. II
• Optimal basket liquidation for CARA investors is deterministic
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal selling rules in a regime switching model
• Optimal stock liquidation in a regime switching model with finite time horizon
• Quadratic convergence for valuing American options using a penalty method
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Risk-Sensitive Production Planning of a Stochastic Manufacturing System
• Stochastic differential equations. An introduction with applications.
• Stock trading: an optimal selling rule
• The liquidity discount.

Cited in

(9)

• A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
• Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
• Optimal sale strategies in illiquid markets
• Whether to sell or hold a stock
• An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
• OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
• Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
• Selling a large stock position: a stochastic control approach with state constraints
• Utility maximization in an illiquid market

This page was built for publication: Optimal decision for selling an illiquid stock

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q658561)