Selling a Large Stock Position: a Stochastic Control Approach with State Constraints

@inproceedings{Pemy2007SellingAL,
  title={Selling a Large Stock Position: a Stochastic Control Approach with State Constraints},
  author={Moustapha Pemy and Qing Zhang and G. Yin},
  year={2007}
}
A common practice for stock-selling decision making is often concerned with liquidation of the security in a short duration. This is feasible when a relative smaller number of shares of a stock is treated. Selling a large position during a short period of time in the market frequently depresses the market, resulting in poor filling prices. In this work, liquidation strategies are considered for selling much smaller number of shares over a longer period of time. By using a fluid model in which… CONTINUE READING

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