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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Vydané v:	TOP Ročník 31; číslo 3; s. 562 - 583
Hlavní autori:	Jasso-Fuentes, Héctor, Pacheco, Carlos G., Salgado-Suárez, Gladys D.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Berlin/Heidelberg Springer Berlin Heidelberg 01.10.2023 Springer Nature B.V
Predmet:	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 prístup:	Získať plný text
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