Optimal contracts for delegated order execution

DOI10.1111/MAFI.12462MaRDI QIDQ6924117zbMATH OpenFDO

Authors Martin Larsson, Johannes Muhle-Karbe, Benjamin Weber

Publication date 30 September 2025

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1111/MAFI.12462

zbMATH Keywords

delegated order executionoptimal contractsprice impact

Mathematics Subject Classification ID

Financial markets (91G15)

Cites work

• Dynamic portfolio choice with frictions
• Dynamic programming approach to principal-agent problems
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• Liquidity risk and arbitrage pricing theory
• No-dynamic-arbitrage and market impact
• Optimal asset management contracts with hidden savings
• Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients
• Order book resilience, price manipulation, and the positive portfolio problem
• Transient linear price impact and Fredholm integral equations

Cited in

(1)

• Short-termism and excessive risk taking in optimal execution with a target performance

This page was built for publication: Optimal contracts for delegated order execution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6924117)