Optimal gradual liquidation of equity from a risky asset
We consider a problem of optimal gradual liquidation of equity from a risky asset for continuous time stochastic market model.The owner of the risky asset uses this equity as a source of steady cash flow by borrowing money permanently against this equity. At the terminal time, there is no equity for...
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| Format: | Journal Article |
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Routledge, Taylor and Francis Ltd
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/9153 |