英文标题：
《Liquidation of an indivisible asset with independent investment》
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作者：
Emilie Fabre, Guillaume Royer and Nizar Touzi
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最新提交年份：
2015
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英文摘要：
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 wether 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.
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中文摘要：
本文对Henderson和Hobson提出的混合最优停止最优随机控制问题的显式解进行了推广。该问题考察了局部鞅金融市场上的最优投资问题是否受到独立不可分割资产最优清算的影响。不可分割资产过程由齐次标量随机微分方程定义，投资者偏好由一般期望效用函数定义。得到了显式形式的价值函数，证明了以显式最大化策略的极限为特征的最优停止投资策略的存在性。我们的方法基于标准的动态规划方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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