Optimal Liquidation of an Asset under Drift Uncertainty
From MaRDI portal
Publication:2813079
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
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal selling of an asset under incomplete information
- Convexity theory for the term structure equation
- Fundamentals of stochastic filtering
- An explicit solution for an optimal stopping/optimal control problem which models an asset sale
- Optimal investment under partial information
- Optimal trading strategy for an investor: the case of partial information
- Incomplete information and heterogeneous beliefs in continuous-time finance. With foreword by Heinz Zimmermann.
- Utility maximization with partial information
- Selling a stock at the ultimate maximum
- A change-of-variable formula with local time on curves
- OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
- OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER
- Optimal Stopping and the American Put
- Optimal Selling of an Asset with Jumps Under Incomplete Information
- Optimal Investment
- Stochastic Evolution Equations in Portfolio Credit Modelling
- PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION
- ON THE AMERICAN OPTION PROBLEM
- Investment Timing Under Incomplete Information
This page was built for publication: Optimal Liquidation of an Asset under Drift Uncertainty
