Optimal Liquidation by a Large Investor

DOI10.1137/050643714MaRDI QIDQ3520290zbMATH OpenOpenAlexFDO

Authors A. Subramanian

Publication date 18 August 2008

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050643714

zbMATH Keywords

dualitylarge investorsliquidationstochastic control

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(28)

• An algorithmic approach to optimal asset liquidation problems
• Optimal liquidation under stochastic liquidity
• Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
• Pricing in an equilibrium based model for a large investor
• Optimal long-term investment in illiquid markets when prices have negative memory
• Portfolio liquidation under factor uncertainty
• Partial liquidation under reference-dependent preferences
• Optimal execution strategy of liquidation
• Optimal portfolio liquidation with additional information
• Stochastic maximum principle for optimal liquidation with control-dependent terminal time
• The liquidity discount
• Nonparametric estimation for FBSDEs models with applications in finance
• Adaptive basket liquidation
• Optimal portfolio liquidation in target zone models and catalytic superprocesses
• Optimal basket liquidation for CARA investors is deterministic
• Research on optimal liquidation strategy based on supply curves
• scientific article; zbMATH DE number 5116809 (Why is no real title available?)
• A dynamic decision model for the liquidation problem
• The optimal control of institutional investors' liquidation cost
• Optimal liquidation in a level-I limit order book for large-tick stocks
• Trading against disorderly liquidation of a large position under asymmetric information and market impact
• Optimal liquidation and adverse selection in dark pools
• The deterministic optimal liquidation problem
• Risk premia and optimal liquidation of credit derivatives
• Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
• Optimal liquidation of a basket of stocks using reinforcement learning
• Optimal liquidation with high risk aversion and small linear price impact
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

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