Adaptive basket liquidation

DOI10.1007/S00780-016-0290-6MaRDI QIDQ287672zbMATH OpenOpenAlexFDO

Authors Torsten Schöneborn

Publication date 23 May 2016

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-016-0290-6

zbMATH Keywords

cross-asset impactdynamic trading strategiesoptimal basket liquidationseparation theoremvon Neumann-Morgenstern investor

Mathematics Subject Classification ID

Portfolio theory (91G10) Degenerate parabolic equations (35K65) Control/observation systems governed by partial differential equations (93C20)

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Cites work

• scientific article; zbMATH DE number 5361721 (Why is no real title available?)
• scientific article; zbMATH DE number 1246635 (Why is no real title available?)
• scientific article; zbMATH DE number 3798532 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• Continuous Auctions and Insider Trading
• Dynamic trading policies with price impact
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• More statistical properties of order books and price impact
• Optimal basket liquidation for CARA investors is deterministic
• Optimal execution strategies in limit order books with general shape functions
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Order book approach to price impact
• Price Manipulation and Quasi-Arbitrage
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• The cost of illiquidity and its effects on hedging
• The liquidity discount.

Cited in

(9)

• Optimal liquidation of a basket of stocks using reinforcement learning
• Monte Carlo methods via a dual approach for some discrete time stochastic control problems
• Rebalancing multiple assets with mutual price impact
• Multi-dimensional optimal trade execution under stochastic resilience
• Optimal basket liquidation for CARA investors is deterministic
• Optimal liquidation trajectories for the Almgren-Chriss model
• Optimal deleveraging with nonlinear temporary price impact
• Cross-impact and no-dynamic-arbitrage
• Optimal time to exchange two baskets

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