A discrete-time optimal execution problem with market prices subject to random environments

In this paper we study an optimal asset liquidation problem for a discrete-time stochastic dynamics, involving a variant of the binomial price model that incorporates both a random environment present in the market and permanent shocks. Our aim is to find an optimal plan for the sale of assets at ce...

Celý popis

Uloženo v:
Podrobná bibliografie
Vydáno v:TOP Ročník 31; číslo 3; s. 562 - 583
Hlavní autoři: Jasso-Fuentes, Héctor, Pacheco, Carlos G., Salgado-Suárez, Gladys D.
Médium: Journal Article
Jazyk:angličtina
Vydáno: Berlin/Heidelberg Springer Berlin Heidelberg 01.10.2023
Springer Nature B.V
Témata:
Business and Management
Dynamic programming
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Finance
Industrial and Production Engineering
Insurance
Management
Mathematical models
Operations Research/Decision Theory
Optimization
Original Paper
Statistics for Business
Random environment
90C40
Random walks
91G15
82B41
60K37
Price impacts
Dynamic programming
Optimal execution problems
ISSN:1134-5764, 1863-8279
On-line přístup:Získat plný text
Tagy: Přidat tag
Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!
Popis
Shrnutí:In this paper we study an optimal asset liquidation problem for a discrete-time stochastic dynamics, involving a variant of the binomial price model that incorporates both a random environment present in the market and permanent shocks. Our aim is to find an optimal plan for the sale of assets at certain appropriate times to obtain the highest possible expected reward. To achieve this goal, the financial problem is presented as an impulsive control model in discrete time, whose solution is based on the well-known dynamic programming method. Under this method we obtain: (1) the seller’s optimal expected profit and (2) optimal sale strategies. In addition we mention how one can use the so-called potential function to analyze the influence of the environment on the trend of the prices and as a byproduct to infer how this trending influences the optimal sale strategies. We provide numerical simulations to illustrate our findings.
Bibliografie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1134-5764
1863-8279
DOI:10.1007/s11750-022-00652-2