TY - JOUR

T1 - Weighted average price management of sales under the given minimum volume of assets obligatory for realization

AU - Svetlov, Kirill V.

AU - Vavilov, Sergey A.

PY - 2021/6/11

Y1 - 2021/6/11

N2 - In this paper, we consider the construction of a sales management strategy for a highly liquid asset trading at the market. The proposed strategy goal is to maximize the weighted average price of sales. It is assumed that the market price follows a geometric Brownian motion process in which drift and volatility coefficients are random functions of time. The important feature of the given management is that the volumes of assets in the succession of buy and sell executed bargains are calculated exclusively on the basis of the observed market prices rather than on the model coefficient values. In contrast to the management proposed earlier in this study, obligatory realization of some minimum volume of assets on the given time period is demanded. Examples of real-world markets trade demonstrating the imposed constraints effect on the weighted average price values obtained within the constructed management are given.

AB - In this paper, we consider the construction of a sales management strategy for a highly liquid asset trading at the market. The proposed strategy goal is to maximize the weighted average price of sales. It is assumed that the market price follows a geometric Brownian motion process in which drift and volatility coefficients are random functions of time. The important feature of the given management is that the volumes of assets in the succession of buy and sell executed bargains are calculated exclusively on the basis of the observed market prices rather than on the model coefficient values. In contrast to the management proposed earlier in this study, obligatory realization of some minimum volume of assets on the given time period is demanded. Examples of real-world markets trade demonstrating the imposed constraints effect on the weighted average price values obtained within the constructed management are given.

KW - random process

KW - sales management

KW - sales planning

UR - https://www.mendeley.com/catalogue/0dfe99fd-cd7d-342c-a17b-651234f90bb6/

U2 - 10.1142/s2424786321500353

DO - 10.1142/s2424786321500353

M3 - Article

VL - 9

JO - International Journal of Financial Engineering

JF - International Journal of Financial Engineering

SN - 2424-7863

IS - 1

M1 - 2150035

ER -