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...

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Veröffentlicht in:	TOP Jg. 31; H. 3; S. 562 - 583
Hauptverfasser:	Jasso-Fuentes, Héctor, Pacheco, Carlos G., Salgado-Suárez, Gladys D.
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Berlin/Heidelberg Springer Berlin Heidelberg 01.10.2023 Springer Nature B.V
Schlagworte:	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
Online-Zugang:	Volltext
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