Long Time Behavior of Optimal Liquidation Problems

Xinman Cheng, Guanxing Fu and Xiaonyu Xia

Papers from arXiv.org

Abstract: In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows. To investigate the limit rigorously, we study the convergence of three BSDEs characterizing the value function and the optimal strategy, from finite horizon to infinite horizon. We find that in the long time limit the player may not necessarily liquidate her assets at all due to the existence of external flows, even if in any given finite time horizon, the player is forced to liquidate all assets. Moreover, when the intensity of the external flow is damped, the player will liquidate her assets in the long run.

Date: 2024-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2405.14177 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2405.14177

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().