A class of optimal liquidation problem with a nonlinear temporary market impact

DOI10.1155/2020/6614177zbMATH Open1459.91064OpenAlexW3113887773MaRDI QIDQ2217828FDOQ2217828

Authors: Jiangming Ma, Di Gao 

Publication date: 14 January 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/6614177

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Mathematics Subject Classification ID

Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

Cites Work

• Liquidation with self-exciting price impact
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• No-dynamic-arbitrage and market impact
• Title not available (Why is that?)
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• Optimal execution with limit and market orders
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• Optimal execution with non-linear transient market impact
• Price manipulation in a market impact model with dark pool
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• A state-constrained differential game arising in optimal portfolio liquidation
• Optimal execution with uncertain order fills in Almgren-Chriss framework
• Numerical analysis of the unsteady natural convection MHD Couette nanofluid flow in the presence of thermal radiation using single and two-phase nanofluid models for Cu-water nanofluids
• Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
• VWAP execution as an optimal strategy
• An optimal execution problem in the volume-dependent Almgren-Chriss model

Cited In (3)

• A class of optimal portfolio liquidation problems with a linear decreasing impact
• Optimal deleveraging with nonlinear temporary price impact
• Optimal asset liquidation with multiplicative transient price impact

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