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

DOI10.1155/2020/6614177MaRDI QIDQ2217828zbMATH OpenOpenAlexFDO

Authors Jiangming Ma, Di Gao

Publication date 14 January 2021

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1818854 (Why is no real title available?)
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• No-dynamic-arbitrage and market impact
• 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
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal execution of a VWAP order: a stochastic control approach
• Optimal execution with dynamic order flow imbalance
• Optimal execution with limit and market orders
• Optimal execution with non-linear transient market impact
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal execution with uncertain order fills in Almgren-Chriss framework
• Optimal portfolio liquidation with limit orders
• Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
• Price manipulation in a market impact model with dark pool
• VWAP execution as an optimal strategy

Cited in

(3)

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

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