In the Black-Scholes model optimal trading for maximizing expected power utility under proportional transaction costs can be described by three intervals B, NT , S: If the proportion of wealth invested in the stocks lies in B, NT , S, then buying, not trading and selling, respectively, are optimal. For a finite time horizon, the boundaries of these trading regions depend on time and on the term...

We investigate the predictive ability of management-to-staff ratio for arbitration between liquidation and voluntary dissolution. Using a sample 697 French firms covering period from 2011 to 2017, our hazard model shows that with more managerial staff tend have lower probability exiting through rather than Compared liquidation, dissolution not only provides opportunity organize firm's remaining...

We consider the problem of optimal position liquidation with the aim of maximizing the expected cash flow stream from the transaction in the presence of a temporary or permanent market impact. We use a stochastic programming approach to derive trading strategies that differentiate decisions with respect to different realizations of market conditions. The scenario set consists of a collection of...