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Stock repurchase with an adaptive reservation price: A study of the greedy policy

By Ye Lu, David Simchi-Levi and Asuman E. Ozdaglar

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.National Science Foundation (U.S.) (Contract CMMI-0758069

Publisher: 'Elsevier BV'
Year: 2010
DOI identifier: 10.1016/j.orl.2010.11.006
OAI identifier: oai:dspace.mit.edu:1721.1/101735
Provided by: DSpace@MIT

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