LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING

In the literature, stock‐selling rules are mainly concerned with liquidation of the security within a short period of time. In practice, this is feasible only when a relatively smaller number of shares of a stock is involved. Selling a large position in a market place normally depresses the market i...

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Veröffentlicht in:	Mathematical finance 2008-10, Vol.18 (4), p.629-648
Hauptverfasser:	Pemy, Moustapha, Zhang, Qing, Yin, G. George
Format:	Artikel
Sprache:	eng
Schlagworte:	Boundary conditions Brownian motion Financial engineering Mathematical finance optimal control Portfolio management Portfolio selection regime-switching model Securities trading selling rule state constraint Stochastic control theory Stocks Studies Viscosity
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