Stock repurchase with an adaptive reservation price: A study of the greedy policy
Author(s)Lu, Ye; Simchi-Levi, David; Ozdaglar, Asuman E.
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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.
DepartmentMassachusetts 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
Operations Research Letters
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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