Optimal Liquidation of an Asset under Drift Uncertainty

DOI10.1137/15M1033265zbMath1345.60040arXiv1509.00686MaRDI QIDQ2813079

Erik Ekström, Juozas Vaicenavicius

Publication date: 15 June 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.00686

zbMATH Keywords

optimal stoppingincomplete informationsequential analysisoptimal asset liquidation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stopping in statistics (62L15)

Related Items (18)

Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach ⋮ Dynkin Games with Incomplete and Asymmetric Information ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ Effective approximation methods for constrained utility maximization with drift uncertainty ⋮ Asset liquidation under drift uncertainty and regime-switching volatility ⋮ Two-Sided Singular Control of an Inventory with Unknown Demand Trend ⋮ Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics ⋮ With or without replacement? Sampling uncertainty in Shepp’s urn scheme ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty ⋮ Optimal stopping with private information ⋮ Optimal entry decision of unemployment insurance under partial information ⋮ Sequential testing of a Wiener process with costly observations ⋮ BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM ⋮ Bayesian sequential least-squares estimation for the drift of a Wiener process ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty ⋮ AMERICAN OPTIONS AND INCOMPLETE INFORMATION ⋮ A sequential estimation problem with control and discretionary stopping

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