Optimal gradual liquidation of equity from a risky asset

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Routledge, Taylor and Francis Ltd 2010
Subjects:	equity liquidation contingent claim replication optimal strategy
Online Access:	http://hdl.handle.net/20.500.11937/9153

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