منابع مشابه
Asset-selling problems with holding costs
Sequential stochastic assignment problems now comprise a signi"cant literature that includes such important economical applications as the classical asset-selling problem and labor-market analysis (job search). In this type of problems there is a stream of bidders to whom several identical units at the disposal of the decisionmaker have to be sold. In this paper we incorporate holding costs to ...
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Players may be allowed to both buy and sell the same commodity in a strategic market game. Any outcome of such a game can also be obtained as an outcome of a game in which players either buy or sell. We present a robust example to show that an equilibrium allocation of the buy and sell game may not be so in the corresponding buy or sell game as the set of achievable allocations for any player, ...
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Feedback effects from asset prices to firm cash flows have been empirically documented. This finding raises a question for asset pricing: How are asset prices determined if price affects fundamental value, which in turn affects price? In this environment, by buying assets that others are buying, investors ensure high future cash flows for the firm and subsequent high returns for themselves. Hen...
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Agents and endowments. There is a continuum of ex ante identical households, a large number of perfectly competitive financial intermediaries, and a government. As in a typical cash-inadvance economy each household splits into a worker and a shopper each period. Each period each household receives an idiosyncratic endowment y ∈ [0,∞) that is IID in the population and IID over time with density ...
متن کاملOptimal Selling of an Asset under Incomplete Information
We consider an agent who wants to liquidate an asset with unknown drift. The agent believes that the drift takes one of two given values and has initially an estimate for the probability of either of them. As time goes by, the agent observes the asset price and can therefore update his beliefs about the probabilities for the drift distribution. We formulate an optimal stopping problem that desc...
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ژورنال
عنوان ژورنال: Financial Markets, Institutions & Instruments
سال: 2007
ISSN: 0963-8008,1468-0416
DOI: 10.1111/j.1468-0416.2007.00126.x