We consider the problem of optimally liquidating a large position in a security within a specified period of time, to maximize a weighted sum of the expected value and variance of the profit from liquidating the position. To exploit predictable seasonal components in liquidity and volatility, we incorporate time-inhomogeneous linear price impact slopes and volatility into the formulation. We sh...

Store liquidation is the time-constrained divestment of retail outlets through an in-store sale of inventory. The retail industry depends extensively on store liquidation, not only as a means for investors to recover capital from failed ventures, but also to allow managers of going concerns to divest stores in efforts to enhance performance and to change strategy. Recent examples of entire chai...

We consider the infinite time-horizon optimal basket portfolio liquidation problem for a von NeumannMorgenstern investor in a multi-asset extension of the liquidity model of Almgren (2003) with cross-asset impact. Using a stochastic control approach, we establish a “separation theorem”: the sequence of portfolios held during an optimal liquidation depends only on the (co-)variance and (cross-as...

This paper presents a theoretical and empirical model of voluntary liquidation. Using the insight from real options literature, we examine the rationale and optimality of US corporate voluntary liquidations for 1990-2000. We test the key predictions from the optimal option exercise boundary. OLS regressions suggest that both the interest effect and the variance effect are at work. However, it s...

We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power-law and exp...

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...

This paper investigates the e¤ects on the asset market of bank actions in dealing with their non-performing loans. It is demonstrated that liquidation of bad loans may not be as detrimental to asset prices as commonly argued, because funds recouped from liquidation can be recycled into new loans which support the asset market. While capital regulation protects the health of banks, it may limit ...

nomadic communities have always played a crucial role in meat production by developing creative and sustainable system in utilizing the scarce natural resources. during the last decade, fars’ nomads have been experiencing changes due to external pressures such as drought that have altered the social, political and economic landscapes and have also been the cause of decline in the health of rang...