title: Selling price management of a highly liquid asset under given volume constraints
metadata.name: dc.contributor.author
metadata.value: Vavilov, S. A.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Svetlov, K. V.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Pustovalova, T. A.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2023-08-28T19:13:28Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2023-08-28T19:13:28Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2023-03
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Vavilov S. A., Svetlov K. V., Pustovalova T. A. 2023. Selling price management of a highly liquid asset under given volume constraints. Russian Management Journal 21 (1): 23–38. https://doi.org/10.21638/spbu18.2023.102 (In Russian)
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: https://doi.org/10.21638/spbu18.2023.102
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/43926
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: Goal: this paper considers the selling strategy of a highly liquid asset traded at market prices.
  The purpose of this paper is to develop a management that provides an improvement in the weighted average selling price. Methodology: it is assumed that market prices follow a diffusion
  process in which the drift and volatility coefficients are random functions of time. Under the
  given assumptions, using the stochastic differential equation theory we build a sales management
  in which only the prices of exchange transactions act as feedback. Findings: the management
  constructed in the present research allows the seller to hedge against sharp drops in market
  prices by artifi cially raising the weighted average selling price due to the implementation of a
  speculative trading strategy. Originality and contribution of the authors: in contrast to
  the management proposed earlier, this paper provides a lower limit on the minimum number
  of assets that must be traded, as well as constraints on the maximum possible number of assets
  allowed to be traded. Examples of virtual trading on real world exchanges are given, demonstrating
  the effect of the imposed restrictions on the values of the weighted average selling prices.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: ru
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: Russian Management Journal;Volume 21; Issue 1
metadata.lang: -
metadata.name: dc.subject
metadata.value: random process
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: sales management
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: sales planning
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: risk hedging
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: price management
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Selling price management of a highly liquid asset under given volume constraints
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 02.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/43926/1/02.pdf
resources.format: Adobe PDF
resources.size: 1,24 MB