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

  title={Selling a Large Stock Position: a Stochastic Control Approach with State Constraints},
  author={Moustapha Pemy and Qing Zhang and G. Yin},
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

From This Paper

Figures, tables, results, connections, and topics extracted from this paper.
0 Extracted Citations
18 Extracted References
Similar Papers

Referenced Papers

Publications referenced by this paper.
Showing 1-10 of 18 references

Optimal stock liquidation in a regime switching model with finite time horizon

  • M. Pemy, Q. Zhang
  • J. Math. Anal. Appl., 321
  • 2006
Highly Influential
12 Excerpts

Verification theorems within the framework of viscosity solutions

  • X. Y. Zhou
  • J. Math. Anal. Appl., 177
  • 1993
Highly Influential
4 Excerpts

Stock liquidation via stochastic approximation using NASDAQ daily and intra-day data

  • G. Yin, Q. Zhang, F. Liu, R. H. Liu, Y. Cheng
  • Mathematical Finance, 16
  • 2006
1 Excerpt

Regime Switching Market Models and Applications

  • M. Pemy
  • Ph.D. Thesis, University of Georgia, USA
  • 2005

Similar Papers

Loading similar papers…