TY - JOUR
T1 - Stock repurchase with an adaptive reservation price
T2 - A study of the greedy policy
AU - Lu, Ye
AU - Ozdaglar, Asuman
AU - Simchi-Levi, David
PY - 2011/1
Y1 - 2011/1
N2 - 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. © 2010 Elsevier B.V. All rights reserved.
AB - 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. © 2010 Elsevier B.V. All rights reserved.
KW - Dynamic programming
KW - Reservation price
KW - Stock repurchase
UR - http://www.scopus.com/inward/record.url?scp=78650764628&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-78650764628&origin=recordpage
U2 - 10.1016/j.orl.2010.11.006
DO - 10.1016/j.orl.2010.11.006
M3 - RGC 21 - Publication in refereed journal
SN - 0167-6377
VL - 39
SP - 22
EP - 27
JO - Operations Research Letters
JF - Operations Research Letters
IS - 1
ER -