IEEE - Institute of Electrical and Electronics Engineers, Inc. - Optimal liquidation strategy for an institutional investor holding N kinds of stocks

2010 8th World Congress on Intelligent Control and Automation (WCICA 2010)

Author(s): Guixia Chen ; Xiuhong Wang
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 July 2010
Conference Location: Jinan, China, China
Conference Date: 7 July 2010
Page(s): 3,510 - 3,514
ISBN (CD): 978-1-4244-6711-2
ISBN (Electronic): 978-1-4244-6712-9
ISBN (Paper): 978-1-4244-6712-9
DOI: 10.1109/WCICA.2010.5553856
Regular:

In case of the continuous time and the stock price follows geometric Brownian motion , study of the optimal liquidation strategy for an institutional invest has many kinds of stocks, and use... View More

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