Optimal Decision for Selling an Illiquid Stock

Baojun Bian, Min Dai, Lishang Jiang, Qing Zhang, Yifei Zhong

Research output: Journal article publicationJournal articleAcademic researchpeer-review

11 Citations (Scopus)

Abstract

This paper is concerned with liquidation of an illiquid stock. The stock price follows a fluid model which is dictated by the rates of selling and buying over time. The objective is to maximize the expected overall return. The method of constrained viscosity solution is used to characterize the dynamics governing the optimal reward function and the associated boundary conditions. Numerical examples are given to illustrate the results.

Original languageEnglish
Article number402
Pages (from-to)402-417
Number of pages16
JournalJournal of Optimization Theory and Applications
Volume151
Issue number2
DOIs
Publication statusPublished - Nov 2011

Keywords

  • Optimal control
  • Selling rule
  • State constraint

ASJC Scopus subject areas

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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