Optimal gradual liquidation of equity from a risky asset
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T11:10:53Z | |
| dc.date.available | 2017-01-30T11:10:53Z | |
| dc.date.created | 2010-09-09T20:02:31Z | |
| dc.date.issued | 2010 | |
| dc.identifier.citation | Dokuchaev, Nikolai. 2010. Optimal gradual liquidation of equity from a risky asset. Applied Economic Letters. 17 (13): pp. 1305-1308. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/9153 | |
| dc.identifier.doi | 10.1080/00036840902881876 | |
| dc.description.abstract |
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. | |
| dc.publisher | Routledge, Taylor and Francis Ltd | |
| dc.subject | equity liquidation | |
| dc.subject | contingent claim replication | |
| dc.subject | optimal strategy | |
| dc.title | Optimal gradual liquidation of equity from a risky asset | |
| dc.type | Journal Article | |
| dcterms.source.volume | 17 | |
| dcterms.source.number | 13 | |
| dcterms.source.startPage | 1305 | |
| dcterms.source.endPage | 1308 | |
| dcterms.source.issn | 13504851 | |
| dcterms.source.title | Applied Economic Letters | |
| curtin.accessStatus | Open access | |
| curtin.faculty | School of Science and Computing | |
| curtin.faculty | Department of Mathematics and Statistics | |
| curtin.faculty | Faculty of Science and Engineering |