Optimal decision for selling an illiquid stock
DOI10.1007/S10957-011-9897-0zbMATH Open1251.93017OpenAlexW2073792327MaRDI QIDQ658561FDOQ658561
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
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Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)
Cites Work
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- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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- Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
- Risk-Sensitive Production Planning of a Stochastic Manufacturing System
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- Intensity-based framework and penalty formulation of optimal stopping problems
Cited In (8)
- Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
- 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
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- Selling a large stock position: a stochastic control approach with state constraints
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- Optimal sale strategies in illiquid markets
- Whether to sell or hold a stock
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