Optimal portfolio liquidation with additional information

DOI10.1007/S11579-015-0147-3MaRDI QIDQ253110zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel

Publication date 8 March 2016

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-015-0147-3

zbMATH Keywords

additional informationenlargement of filtrationHJB equationoptimal liquidationprice impact

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Recommendations

• Optimal Portfolio Liquidation with Distress Risk
• Optimal portfolio liquidation with limit orders
• OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
• Optimal portfolio choice with wash sale constraints
• Optimal liquidation strategies and their implications
• Optimal Liquidation by a Large Investor
• Portfolio with optimal extension
• A class of optimal portfolio liquidation problems with a linear decreasing impact
• Portfolio optimization under liquidity costs
• Optimal hedge fund portfolios under liquidation risk

Cites work

• scientific article; zbMATH DE number 53542 (Why is no real title available?)
• scientific article; zbMATH DE number 1985273 (Why is no real title available?)
• A control problem with fuel constraint and Dawson-Watanabe superprocesses
• A monetary value for initial information in portfolio optimization
• Additional logarithmic utility of an insider
• Additional utility of insiders with imperfect dynamical information
• Anticipative portfolio optimization
• Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
• Comparison of insiders' optimal strategies depending on the type of side-information
• Financial markets with asymmetric information: information drift, additional utility and entropy
• Insider Trading in a Continuous Time Market Model
• Optimal basket liquidation for CARA investors is deterministic
• Random times and enlargements of filtrations in a Brownian setting.
• The Shannon information of filtrations and the additional logarithmic utility of insiders

Cited in

(10)

• Momentum liquidation under partial information
• Trading against disorderly liquidation of a large position under asymmetric information and market impact
• scientific article; zbMATH DE number 5116809 (Why is no real title available?)
• Optimal execution with multiplicative price impact and incomplete information on the return
• New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
• What if we knew what the future brings? Optimal investment for a frontrunner with price impact
• Market-making strategy with asymmetric information and regime-switching
• Optimal Portfolio Liquidation with Distress Risk
• Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
• Optimal solution of the liquidation problem under execution and price impact risks

This page was built for publication: Optimal portfolio liquidation with additional information

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q253110)