英文标题：
《Optimal liquidation of an asset under drift uncertainty》
---
作者：
Erik Ekstr\\\"om and Juozas Vaicenavicius
---
最新提交年份：
2015
---
英文摘要：
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about the drift parameter by allowing an arbitrary probability distribution to characterise the uncertainty about the drift parameter. Filtering theory is used to describe the evolution of the posterior beliefs about the drift once the price process is being observed. An optimal stopping time is determined as the first passage time of the posterior mean below a monotone boundary, which can be characterised as the unique solution to a non-linear integral equation. We also study monotonicity properties with respect to the prior distribution and the asset volatility.
---
中文摘要：
我们研究了一个寻找最优停止策略来清算具有未知漂移的资产的问题。采用贝叶斯方法，我们通过允许任意概率分布来描述漂移参数的不确定性，对个体对漂移参数的初始信念进行建模。过滤理论被用来描述一旦价格过程被观察到，关于漂移的后验信念的演化。最优停止时间被确定为单调边界下后验平均值的首次通过时间，其特征是非线性积分方程的唯一解。我们还研究了关于先验分布和资产波动率的单调性。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->