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 |
| _version_ | 1848745867528372224 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 him in this asset, and the bank gains ownership of this asset. Optimal strategy is obtained explicitly. |
| first_indexed | 2025-11-14T06:24:11Z |
| format | Journal Article |
| id | curtin-20.500.11937-9153 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:24:11Z |
| publishDate | 2010 |
| publisher | Routledge, Taylor and Francis Ltd |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-91532017-09-13T16:07:07Z Optimal gradual liquidation of equity from a risky asset Dokuchaev, Nikolai equity liquidation contingent claim replication optimal strategy 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 him in this asset, and the bank gains ownership of this asset. Optimal strategy is obtained explicitly. 2010 Journal Article http://hdl.handle.net/20.500.11937/9153 10.1080/00036840902881876 Routledge, Taylor and Francis Ltd fulltext |
| spellingShingle | equity liquidation contingent claim replication optimal strategy Dokuchaev, Nikolai Optimal gradual liquidation of equity from a risky asset |
| title | Optimal gradual liquidation of equity from a risky asset |
| title_full | Optimal gradual liquidation of equity from a risky asset |
| title_fullStr | Optimal gradual liquidation of equity from a risky asset |
| title_full_unstemmed | Optimal gradual liquidation of equity from a risky asset |
| title_short | Optimal gradual liquidation of equity from a risky asset |
| title_sort | optimal gradual liquidation of equity from a risky asset |
| topic | equity liquidation contingent claim replication optimal strategy |
| url | http://hdl.handle.net/20.500.11937/9153 |