On optimal liquidation strategy and optimal liquidation time

被引：0
|
作者：
School of Economics and Management, Southeast University, Nanjing 210096, China [1 ]
机构：
来源：
Kong Zhi Li Lun Yu Ying Yong | 2007年 / 2卷 / 312-316期
关键词：
9;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
相关论文
共 50 条
  • [31] MONOTONE OPTIMAL POLICIES IN PORTFOLIO LIQUIDATION PROBLEMS
    Crawford, Daniel
    Krishnamurthy, Vikram
    2015 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING (ICASSP), 2015, : 3521 - 3525
  • [32] Optimal Liquidation of an Asset under Drift Uncertainty
    Ekstrom, Erik
    Vaicenavicius, Juozas
    SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2016, 7 (01): : 357 - 381
  • [33] RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES
    Leung, Tim
    Liu, Peng
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2012, 15 (08)
  • [34] A Mean Field Game of Optimal Portfolio Liquidation
    Fu, Guanxing
    Graewe, Paulwin
    Horst, Ulrich
    Popier, Alexandre
    MATHEMATICS OF OPERATIONS RESEARCH, 2021, 46 (04) : 1250 - 1281
  • [35] Optimal stock liquidation in a regime switching model with finite time horizon
    Pemy, M.
    Zhang, Q.
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2006, 321 (02) : 537 - 552
  • [36] Optimal Portfolio Liquidation with Execution Cost and Risk
    Kharroubi, Idris
    Huyen Pham
    SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2010, 1 (01): : 897 - 931
  • [37] Optimal control of institutional investors' liquidation coil
    Research Center of Financial Eng., Shanghai Jiaotong Univ., Shanghai 200052, China
    Shanghai Jiaotong Daxue Xuebao/Journal of Shanghai Jiaotong University, 2007, 41 (12): : 1997 - 2000
  • [38] A note on optimal liquidation with linear price impact
    Dolinsky, Yan
    Greenstein, Doron
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2025, 12 (02): : 123 - 134
  • [39] OPTIMAL DIVIDEND, REINVESTMENT, AND LIQUIDATION POLICIES FOR FIRM
    PORTEUS, EL
    OPERATIONS RESEARCH, 1977, 25 (05) : 818 - 834
  • [40] An Algorithmic Approach to Optimal Asset Liquidation Problems
    Hinz J.
    Yee J.
    Asia-Pacific Financial Markets, 2017, 24 (2) : 109 - 129
12345