Optimal liquidation with dynamic parameter updating: a forward approach

DOI10.3934/PUQR.2024012MaRDI QIDQ6586873zbMATH OpenFDO

Authors Haoran Wang, Thaleia Zariphopoulou

Publication date 13 August 2024

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/PUQR.2024012

zbMATH Keywords

backward approachdynamic parameter updatingexpected utility modelforward approachfull liquidationoptimal liquidationtime consistency

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial markets (91G15) Optimal stochastic control (93E20)

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Cited in

(1)

• Robust forward investment and consumption under drift and volatility uncertainties: a randomization approach

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