Market Influence of Portfolio Optimizers

DOI10.1080/13504860701269285MaRDI QIDQ3502200zbMATH OpenOpenAlexFDO

Authors Suhas Nayak, George Papanicolaou

Publication date 22 May 2008

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860701269285

zbMATH Keywords

feedbackHamilton-Jacobi-Bellman equationportfolio optimization

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Recommendations

• Nonlinear price impact and portfolio choice
• Portfolio optimization for a large investor under partial information and price impact
• Portfolio choice with small temporary and transient price impact
• Portfolio optimization for a large investor controlling market sentiment under partial information
• Optimal portfolio selection under concave price impact

Cites work

• A Microeconomic Approach to Diffusion Models For Stock Prices
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Hedging options for a large investor and forward-backward SDE's
• scientific article; zbMATH DE number 3148886 (Why is no real title available?)
• scientific article; zbMATH DE number 53999 (Why is no real title available?)
• Market volatility and feedback effects from dynamic hedging
• On Feedback Effects from Hedging Derivatives
• Optimal consumption choices for a `large' investor
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing for large agents
• The Feedback Effect of Hedging in Illiquid Markets

Cited in

(3)

• A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
• A feedback model for the financialization of commodity markets
• Nonlinear Parabolic Equations Arising in Mathematical Finance

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