Optimal Decision for Selling an Illiquid Stock

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

doi:10.1007/s10957-011-9897-0

Optimal Decision for Selling an Illiquid Stock

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

Department of Applied Mathematics

Research output: Journal article publication › Journal article › Academic research › peer-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 language	English
Article number	402
Pages (from-to)	402-417
Number of pages	16
Journal	Journal of Optimization Theory and Applications
Volume	151
Issue number	2
DOIs	https://doi.org/10.1007/s10957-011-9897-0
Publication status	Published - Nov 2011

Keywords

Optimal control
Selling rule
State constraint

ASJC Scopus subject areas

Control and Optimization
Management Science and Operations Research
Applied Mathematics

More information

10.1007/s10957-011-9897-0

Cite this

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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.",

keywords = "Optimal control, Selling rule, State constraint",

author = "Baojun Bian and Min Dai and Lishang Jiang and Qing Zhang and Yifei Zhong",

note = "Funding Information: Acknowledgements We thank Changhao Zhang for assistance in some numerical implementation. Bian and Jiang are supported in part by NSFC (No. 11071189, No. 71090404) and NBRPC (2007CB814903). Dai is supported by the Singapore MOE AcRF grant (No. R-146-000-096-112) and the NUS RMI grant (No. R-146-000-117-720/646).",

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KW - State constraint

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Optimal Decision for Selling an Illiquid Stock

Abstract

Keywords

ASJC Scopus subject areas

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