지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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This work is concerned with an optimal selling rule for a large position of stock in a market.
Selling a large block of stock in a short period typically depresses the market, which would result in a poor filling price. In addition, the large selling intensity makes the regime more likely to be poor state in the market. In this paper, regime switching and depressing terms associated with selling intensity are considered on a set of geometric Brownian models to capture movements of underlying asset. We also consider the liquidation strategy to sell much smaller number of shares in a long period. The goal is to maximize the overall return under state constraints. The corresponding value function with the selling strategy is shown to be a unique viscosity solution to the associated HJB equations. Optimal liquidation rules are characterized by a finite difference method. A numerical example is given to illustrate the result.
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참고문헌 (10)
참고문헌 신청
B. Ø ksendal / 2005 / Stochastic differential Equations, 6th ed / Springer-Verlag
E. R. Jakobsen / 2006 / A "maximum principle for semicontinuous func-tions" applicable to integro-partial differential equations / NoDEA Nonlinear Differential Equations Appl
M. Pemy / 2006 / Optimal stock liquidation in a regime switching model with finite time horizon / J. Math. Anal. Appl 321 (2) : 537 ~ 552
M. Pemy / 2007 / Liquidation of a large block of stock / J. Bank Finance 31 : 1295 ~ 1305
Q. Zhang / 2001 / Stock trading: An optimal selling rule / SIAM J. Control Optim 40 (1) : 64 ~ 87
E. R. Jakobsen / 2006 / A "maximum principle for semicontinuous func-tions" applicable to integro-partial differential equations / NoDEA Nonlinear Differential Equations Appl
M. Pemy / 2006 / Optimal stock liquidation in a regime switching model with finite time horizon / J. Math. Anal. Appl 321 (2) : 537 ~ 552
M. Pemy / 2007 / Liquidation of a large block of stock / J. Bank Finance 31 : 1295 ~ 1305
Q. Zhang / 2001 / Stock trading: An optimal selling rule / SIAM J. Control Optim 40 (1) : 64 ~ 87
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