IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v28y2018i1p153-176.html
   My bibliography  Save this article

Liquidation Of An Indivisible Asset With Independent Investment

Author

Listed:
  • Emilie Fabre
  • Guillaume Royer
  • Nizar Touzi

Abstract

We provide an extension of the explicit solution of a mixed optimal stopping–optimal stochastic control problem introduced by Henderson and Hobson. The problem examines whether the optimal investment problem on a local martingale financial market is affected by the optimal liquidation of an independent indivisible asset. The indivisible asset process is defined by a homogeneous scalar stochastic differential equation, and the investor's preferences are defined by a general expected utility function. The value function is obtained in explicit form, and we prove the existence of an optimal stopping–investment strategy characterized as the limit of an explicit maximizing strategy. Our approach is based on the standard dynamic programming approach.

Suggested Citation

  • Emilie Fabre & Guillaume Royer & Nizar Touzi, 2018. "Liquidation Of An Indivisible Asset With Independent Investment," Mathematical Finance, Wiley Blackwell, vol. 28(1), pages 153-176, January.
    • Handle: RePEc:bla:mathfi:v:28:y:2018:i:1:p:153-176
    DOI: 10.1111/mafi.12127
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/mafi.12127
    Download Restriction: no
    File URL: https://libkey.io/10.1111/mafi.12127?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:28:y:2018:i:1:p:153-176. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.