Selling a large stock position: a stochastic control approach with state constraints
نویسندگان
چکیده
منابع مشابه
Selling a Large Stock Position: a Stochastic Control Approach with State Constraints
A common practice for stock-selling decision making is often concerned with liquidation of the security in a short duration. This is feasible when a relative smaller number of shares of a stock is treated. Selling a large position during a short period of time in the market frequently depresses the market, resulting in poor filling prices. In this work, liquidation strategies are considered for...
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ژورنال
عنوان ژورنال: Communications in Information and Systems
سال: 2007
ISSN: 1526-7555,2163-4548
DOI: 10.4310/cis.2007.v7.n1.a5