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Remarks on some short rate term structure models
Optimal execution strategy of liquidation
1. | Citigroup, Hong Kong, China |
2. | Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, China |
[1] |
Guibin Lu, Qiying Hu, Youying Zhou, Wuyi Yue. Optimal execution strategy with an endogenously determined sales period. Journal of Industrial and Management Optimization, 2005, 1 (3) : 289-304. doi: 10.3934/jimo.2005.1.289 |
[2] |
Jin Ma, Xinyang Wang, Jianfeng Zhang. Dynamic equilibrium limit order book model and optimal execution problem. Mathematical Control and Related Fields, 2015, 5 (3) : 557-583. doi: 10.3934/mcrf.2015.5.557 |
[3] |
Gongpin Cheng, Lin Xu. Optimal size of business and dividend strategy in a nonlinear model with refinancing and liquidation value. Mathematical Control and Related Fields, 2017, 7 (1) : 1-19. doi: 10.3934/mcrf.2017001 |
[4] |
Baojun Bian, Nan Wu, Harry Zheng. Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact. Discrete and Continuous Dynamical Systems - B, 2016, 21 (5) : 1401-1420. doi: 10.3934/dcdsb.2016002 |
[5] |
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu. Generalized optimal liquidation problems across multiple trading venues. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021109 |
[6] |
Ka Chun Cheung, Hailiang Yang. Optimal investment-consumption strategy in a discrete-time model with regime switching. Discrete and Continuous Dynamical Systems - B, 2007, 8 (2) : 315-332. doi: 10.3934/dcdsb.2007.8.315 |
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Fengjun Wang, Qingling Zhang, Bin Li, Wanquan Liu. Optimal investment strategy on advertisement in duopoly. Journal of Industrial and Management Optimization, 2016, 12 (2) : 625-636. doi: 10.3934/jimo.2016.12.625 |
[8] |
Zhenwei Luo, Jinting Wang. The optimal price discount, order quantity and minimum quantity in newsvendor model with group purchase. Journal of Industrial and Management Optimization, 2015, 11 (1) : 1-11. doi: 10.3934/jimo.2015.11.1 |
[9] |
Yiju Wang, Wei Xing, Hengxia Gao. Optimal ordering policy for inventory mechanism with a stochastic short-term price discount. Journal of Industrial and Management Optimization, 2020, 16 (3) : 1187-1202. doi: 10.3934/jimo.2018199 |
[10] |
Hong Niu, Zhijiang Feng, Qijin Xiao, Yajun Zhang. A PID control method based on optimal control strategy. Numerical Algebra, Control and Optimization, 2021, 11 (1) : 117-126. doi: 10.3934/naco.2020019 |
[11] |
Yujing Wang, Changjun Yu, Kok Lay Teo. A new computational strategy for optimal control problem with a cost on changing control. Numerical Algebra, Control and Optimization, 2016, 6 (3) : 339-364. doi: 10.3934/naco.2016016 |
[12] |
Siyu Liu, Xue Yang, Yingjie Bi, Yong Li. Dynamic behavior and optimal scheduling for mixed vaccination strategy with temporary immunity. Discrete and Continuous Dynamical Systems - B, 2019, 24 (4) : 1469-1483. doi: 10.3934/dcdsb.2018216 |
[13] |
Jingang Zhai, Guangmao Jiang, Jianxiong Ye. Optimal dilution strategy for a microbial continuous culture based on the biological robustness. Numerical Algebra, Control and Optimization, 2015, 5 (1) : 59-69. doi: 10.3934/naco.2015.5.59 |
[14] |
Yuxue Li, Maozhu Jin, Peiyu Ren, Zhixue Liao. Research on the optimal initial shunt strategy of Jiuzhaigou based on the optimization model. Discrete and Continuous Dynamical Systems - S, 2015, 8 (6) : 1239-1249. doi: 10.3934/dcdss.2015.8.1239 |
[15] |
Jiaqin Wei, Danping Li, Yan Zeng. Robust optimal consumption-investment strategy with non-exponential discounting. Journal of Industrial and Management Optimization, 2020, 16 (1) : 207-230. doi: 10.3934/jimo.2018147 |
[16] |
Lv Chen, Hailiang Yang. Optimal reinsurance and investment strategy with two piece utility function. Journal of Industrial and Management Optimization, 2017, 13 (2) : 737-755. doi: 10.3934/jimo.2016044 |
[17] |
Heman Shakeri, Faryad Darabi Sahneh, Caterina Scoglio, Pietro Poggi-Corradini, Victor M. Preciado. Optimal information dissemination strategy to promote preventive behaviors in multilayer epidemic networks. Mathematical Biosciences & Engineering, 2015, 12 (3) : 609-623. doi: 10.3934/mbe.2015.12.609 |
[18] |
Hassan Tahir, Asaf Khan, Anwarud Din, Amir Khan, Gul Zaman. Optimal control strategy for an age-structured SIR endemic model. Discrete and Continuous Dynamical Systems - S, 2021, 14 (7) : 2535-2555. doi: 10.3934/dcdss.2021054 |
[19] |
Xiaoyu Xing, Caixia Geng. Optimal investment-reinsurance strategy in the correlated insurance and financial markets. Journal of Industrial and Management Optimization, 2021 doi: 10.3934/jimo.2021120 |
[20] |
Haibo Jin, Long Hai, Xiaoliang Tang. An optimal maintenance strategy for multi-state systems based on a system linear integral equation and dynamic programming. Journal of Industrial and Management Optimization, 2020, 16 (2) : 965-990. doi: 10.3934/jimo.2018188 |
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