| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1142578 | Operations Research Letters | 2011 | 6 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Ye Lu, Asuman Ozdaglar, David Simchi-Levi,