Optimal liquidation strategies and their implications
This paper studies optimal liquidation when the selling price depends on the rate of liquidation, transaction time, volume, and the asset's intrinsic value. A generic closed-form solution for maximizing the discounted liquidation proceeds is derived. To obtain financial insights, three parametr...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2697 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3696/viewcontent/OptimalLiquidationStrategiesImplications_2007.pdf |
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| Institution: | Singapore Management University |
| Language: | English |