An explicit solution for an optimal stopping/optimal control problem which models an asset sale
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References listed on IDEAS
- Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
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Cited by:
- Xiongfei Jian & Xun Li & Fahuai Yi, 2014. "Optimal Investment with Stopping in Finite Horizon," Papers 1406.6940, arXiv.org.
- Emilie Fabre & Guillaume Royer & Nizar Touzi, 2013. "Liquidation of an indivisible asset with independent investment," Papers 1312.2754, arXiv.org, revised Feb 2015.
- Sen, Rik & Tumarkin, Robert, 2015. "Stocking up: Executive optimism, option exercise, and share retention," Journal of Financial Economics, Elsevier, vol. 118(2), pages 399-430.
- Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1422-1460, October.
- David Hobson & Yeqi Zhu, 2014. "Optimal consumption and sale strategies for a risk averse agent," Papers 1409.3394, arXiv.org.
- Jakub Trybu{l}a, 2014. "Merton problem with one additional indivisible asset," Papers 1403.3223, arXiv.org.
- Jason S. Anquandah & Leonid V. Bogachev, 2019. "Optimal Stopping and Utility in a Simple Model of Unemployment Insurance," Papers 1902.06175, arXiv.org, revised Sep 2019.
- Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Papers 2006.00282, arXiv.org.
- Naveed Chehrazi & Peter W. Glynn & Thomas A. Weber, 2019. "Dynamic Credit-Collections Optimization," Management Science, INFORMS, vol. 67(6), pages 2737-2769, June.
- Jingtang Ma & Jie Xing & Harry Zheng, 2018. "Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems," Papers 1810.09397, arXiv.org.
- Erik Ekstrom & Juozas Vaicenavicius, 2015. "Optimal liquidation of an asset under drift uncertainty," Papers 1509.00686, arXiv.org.
- Jason S. Anquandah & Leonid V. Bogachev, 2019. "Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance," Risks, MDPI, vol. 7(3), pages 1-41, September.
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