Stock repurchase with an adaptive reservation price: A study of the greedy policy
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stock repurchase.pdf
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Main article
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98.83 KB
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Author(s)
Lu, Ye
Simchi-Levi, David
Ozdaglar, Asuman E.
Date Issued
November 2010
Journal
Operations Research Letters
Publisher
Elsevier
Citation
Lu, Ye, Asuman Ozdaglar, and David Simchi-Levi. “Stock Repurchase with an Adaptive Reservation Price: A Study of the Greedy Policy.” Operations Research Letters 39, no. 1 (January 2011): 22–27.
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Author's final manuscript
Abstract
We consider the problem of stock repurchase over a finite time horizon. We assume that a firm has a reservation price for the stock, which is the highest price that the firm is willing to pay to repurchase its own stock. We characterize the optimal policy for the trader to maximize the total number of shares that they can buy over a fixed time horizon. In particular, we study a greedy policy, which involves in each period buying a quantity that drives stock price to the reservation price.
MIT Department
Massachusetts Institute of Technology. Department of Civil and Environmental Engineering
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Massachusetts Institute of Technology. Engineering Systems Division
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Creative Commons Attribution-NonCommercial-NoDerivs License
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DOI of Published Version
https://doi.org/10.1016/j.orl.2010.11.006
