{"entities":{"Q1992659":{"pageid":2003401,"ns":120,"title":"Item:Q1992659","lastrevid":72247065,"modified":"2026-04-14T03:36:56Z","type":"item","id":"Q1992659","labels":{"en":{"language":"en","value":"A class of optimal portfolio liquidation problems with a linear decreasing impact"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6972025"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$C1195BE5-ED2E-4777-9CAD-1AFBB22A4162","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"32561c10dfbb761881bb984c42ff4376a126be56","datavalue":{"value":{"text":"A class of optimal portfolio liquidation problems with a linear decreasing impact","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1992659$73DB5785-0E08-4882-95E5-A2B871DFBEA5","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"978de84ca209e99b61454f2e3cc99bcc7cb034c5","datavalue":{"value":"1427.91259","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1992659$AE064DC9-9B7E-4001-A1C5-6FC617E8E620","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"ab05a0c2abe1f4443f154a03d90b0464a4e19361","datavalue":{"value":"10.1155/2017/3758605","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1992659$B6F85168-AC8D-4C13-9D44-6A1BCA15A82C","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"10dd5e1fac23f4b9ac79364906a5ee3a50e13c6d","datavalue":{"value":{"entity-type":"item","numeric-id":1992658,"id":"Q1992658"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$35941517-1DC1-43F1-BFB9-A2D4D0C76BB9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"d4252b89bf6c03fd9d36f529151659d6a96c4ede","datavalue":{"value":{"entity-type":"item","numeric-id":183154,"id":"Q183154"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$BEDECBE3-15E3-4D9A-899E-B7052EDED888","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"c4aeac211b6e3cd1217760d7cd473ea84b4de8c8","datavalue":{"value":{"entity-type":"item","numeric-id":257798,"id":"Q257798"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$B953A74E-61E7-4E32-BC21-1B3435DADE1E","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"3dc97bc0aff607b9c22ce37ffa18b6de85001d90","datavalue":{"value":{"entity-type":"item","numeric-id":86199,"id":"Q86199"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$B5092B43-96CF-4BCB-9AC2-6235057F5641","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"aa52e5275a0a48fdb54409ff403b7de34344c3c7","datavalue":{"value":{"time":"+2018-11-05T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1992659$2619B58A-EDCA-431A-821F-A453108C5F59","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"ef1a5e8caddea87ad49cb25381862328320d5bf4","datavalue":{"value":"Summary: A problem of an optimal liquidation is investigated by using the Almgren-Chriss market impact model on the background that the \\(n\\) agents liquidate assets completely. The impact of market is divided into three components: unaffected price process, permanent impact, and temporary impact. The key element is that the variable temporary market impact is analyzed. When the temporary market impact is decreasing linearly, the optimal problem is described by a Nash equilibrium in finite time horizon. The stochastic component of the price process is eliminated from the mean-variance. Mathematically, the Nash equilibrium is considered as the second-order linear differential equation with variable coefficients. We prove the existence and uniqueness of solutions for the differential equation with two boundaries and find the closed-form solutions in special situations. The numerical examples and properties of the solution are given. The corresponding finance phenomenon is interpreted.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1992659$080514AA-A8F1-4CAF-A443-444EDB768E40","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"7f918b855cc4e1ef3c50dee94916276dca231342","datavalue":{"value":"91G10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1992659$B5D1F70E-61F1-44A8-89BC-7D3782F01B19","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"9fa3e81bd1d73482efe437e765d72accba82d844","datavalue":{"value":"91G80","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1992659$5A948AB3-CFA4-4DCF-991B-A04C375034A0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1992659$7CC83ED7-E3C5-4123-871A-9E63A9677F88","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"2e2b7dbb4884c8f0143941b7213278af47d22bad","datavalue":{"value":"6972025","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1992659$798B2ACF-7E6D-4E11-82EA-ECAD76004FC1","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"8b0550efc40344e2b252d6428f5883ee8ccf5d3f","datavalue":{"value":"Q59147504","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1992659$4E7AA40C-6EE8-42ED-A0E6-789604CD0501","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$563614CF-2A76-4438-B2EB-5358E5514A30","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"e3a327e57fe36eff45b6864b189925847cc47198","datavalue":{"value":"https://doi.org/10.1155/2017/3758605","type":"string"},"datatype":"url"},"type":"statement","id":"Q1992659$ED7B63ED-FAAD-4362-AA53-7A790BE91075","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"1ac08c3a8d6f48e9f2e462a80537ec5a970ebb0f","datavalue":{"value":"W2610128822","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1992659$968A1FCA-0491-4DF4-BD52-A2B2E9F39400","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"190d8f728665edd8eece0041a4ecfd293dbcafdb","datavalue":{"value":{"entity-type":"item","numeric-id":1124508,"id":"Q1124508"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$364292C1-98FB-44FD-B53F-DDF8F8B6C80E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b192a9df3ad15ce18a3f056e042db219da098eff","datavalue":{"value":{"entity-type":"item","numeric-id":1174786,"id":"Q1174786"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$6D77E932-E3D1-48D6-B4D2-E95009F0C585","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e1901e8385b313737c87b9af477501031c7b423c","datavalue":{"value":{"entity-type":"item","numeric-id":3787900,"id":"Q3787900"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$654E93CA-9776-45F9-8A43-F39F1D2E7C47","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5bafc827c1716145a847340ecdcf9054b2d79d9c","datavalue":{"value":{"entity-type":"item","numeric-id":1922074,"id":"Q1922074"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$5FDA7A7D-99A7-426A-9C00-1BEE92981498","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"40075c773bfcfb7532e9da370b00aec89a9c2aca","datavalue":{"value":{"entity-type":"item","numeric-id":4449551,"id":"Q4449551"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$7C52C7C5-EB27-45B3-B14A-A496AB42C4BF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"654f18f5a821fe74854852e4d973a4bd109b9836","datavalue":{"value":{"entity-type":"item","numeric-id":5475045,"id":"Q5475045"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$64693511-01EA-4224-80ED-641C4D932FBA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2c39797eb012b9319567549ccd19d73dbbdbd173","datavalue":{"value":{"entity-type":"item","numeric-id":4610223,"id":"Q4610223"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$EAF3A143-49A6-4CCF-BA0E-1414F3FE39F6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f99f7b65384f38113adab491b63d948d48c4e37b","datavalue":{"value":{"entity-type":"item","numeric-id":964670,"id":"Q964670"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$DC8D9EE6-1E73-4711-BDA9-8389688D9E0F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ed3b769e5d9a4614210e550bb1bc54da7a91a049","datavalue":{"value":{"entity-type":"item","numeric-id":3063877,"id":"Q3063877"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$EAD580DB-F6F1-4737-A62A-7EDFE802CD4F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c2e7ed4c98642012ac169b21f86dd23155be6fc5","datavalue":{"value":{"entity-type":"item","numeric-id":2889596,"id":"Q2889596"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$2272F6B5-375B-437D-B87A-8CEC4DAA5FBE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"12a098c093175209fca81c8e57ce0eadd289474c","datavalue":{"value":{"entity-type":"item","numeric-id":2786278,"id":"Q2786278"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$41CED211-E2E1-422E-85E3-24C577ECCEEA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6645390c2c828a075b17b9973096fe9ece4e222b","datavalue":{"value":{"entity-type":"item","numeric-id":4902224,"id":"Q4902224"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$7487DD88-77E8-4C41-8A23-10C3DFCA5431","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5da9c294414e2ed00a5054e8871b7a5164ea7bac","datavalue":{"value":{"entity-type":"item","numeric-id":5283403,"id":"Q5283403"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$C7DC7A88-C883-466D-81F8-B7CA6D06C62A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ce6d1667136c68874e49cfea594d6d612030303e","datavalue":{"value":{"entity-type":"item","numeric-id":3151170,"id":"Q3151170"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$D3BFD092-C3D4-4814-B4B4-173AD46A4ABD","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c900a73b5b0de2b8da941d8a67f50c8e9ba41b47","datavalue":{"value":{"entity-type":"item","numeric-id":2217828,"id":"Q2217828"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f25745ab2985d53c7f08be2519940d073bae63be","datavalue":{"value":{"amount":"+0.8706870675086975","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1992659$F2F5051F-1BA2-4D71-B92B-7222494EAEA6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"045cc25751126543ba8cd41ddc70417493d44d1f","datavalue":{"value":{"entity-type":"item","numeric-id":2994855,"id":"Q2994855"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"fcb2ace0e367384b2be053e02ff495e6f4b05fc9","datavalue":{"value":{"amount":"+0.8449063897132874","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1992659$39D8950F-8A84-4A85-B4ED-06097FD6B80C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"4a80da329ebc9eba60f81d4467efe065cbf601c5","datavalue":{"value":{"entity-type":"item","numeric-id":4631694,"id":"Q4631694"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"60a92e2f21839bfb002965f40045010fc9250ed8","datavalue":{"value":{"amount":"+0.8431056141853333","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1992659$B81CEB1A-8C4A-4AF2-ACCA-535A11BC9C4D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f57d36b51f77a5cb8da9ead3e1f485bb03de3534","datavalue":{"value":{"entity-type":"item","numeric-id":1691443,"id":"Q1691443"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"53522fc1938b50e86ae4ba3311f14c573580d49d","datavalue":{"value":{"amount":"+0.838569700717926","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1992659$B799303D-99CA-4E49-A9C2-F311C2A983AD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"52257d11af148bdf55bc6a247b49dd40f6b86857","datavalue":{"value":{"entity-type":"item","numeric-id":316889,"id":"Q316889"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e18c8f2820f32f7c0c2ebb9008bc986170059165","datavalue":{"value":{"amount":"+0.8333251476287842","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1992659$BDD88151-31EF-41B3-B3D1-B40B9C1A10B4","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1992659$B9B9C71B-BE2A-4D10-A8B7-6CC8A48B86FC","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"A class of optimal portfolio liquidation problems with a linear decreasing impact","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/A_class_of_optimal_portfolio_liquidation_problems_with_a_linear_decreasing_impact"}}}}}