Adaptive basket liquidation

DOI10.1007/s00780-016-0290-6zbMath1376.91156OpenAlexW3123275464MaRDI QIDQ287672

Torsten Schöneborn

Publication date: 23 May 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-016-0290-6

zbMATH Keywords

separation theoremcross-asset impactdynamic trading strategiesoptimal basket liquidationvon Neumann-Morgenstern investor

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Degenerate parabolic equations (35K65) Portfolio theory (91G10)

Related Items (6)

Rebalancing multiple assets with mutual price impact ⋮ Optimal deleveraging with nonlinear temporary price impact ⋮ Cross-impact and no-dynamic-arbitrage ⋮ Monte Carlo methods via a dual approach for some discrete time stochastic control problems ⋮ Multi-dimensional optimal trade execution under stochastic resilience ⋮ OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL

Cites Work

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• Continuous Auctions and Insider Trading
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Optimal execution strategies in limit order books with general shape functions
• Price Manipulation and Quasi-Arbitrage

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