Dynamic liquidation under market impact

DOI10.1080/14697681003785934MaRDI QIDQ2994855zbMATH OpenOpenAlexFDO

Authors Thangaraj Draviam, Thomas F. Coleman, Yuying Li

Publication date 29 April 2011

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697681003785934

zbMATH Keywords

stochastic programmingtransaction coststrading costsliquidity costs

Mathematics Subject Classification ID

Stochastic programming (90C15) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• A model of optimal portfolio selection under liquidity risk and price impact
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• Discrete maximum principle for finite-difference operators
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
• Impulse control of portfolios with jumps and transaction costs
• Intertemporal portfolio optimization with small transaction costs and stochastic variance
• On an Investment-Consumption Model with Transaction Costs
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal Impulse Control of Portfolios
• Optimal investment and consumption with transaction costs
• Portfolio Selection with Transaction Costs
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Portfolio selection with transactions costs

Cited in

(17)

• Optimal liquidation strategies and their implications
• Price impact and bursts in liquidity provision
• A class of optimal portfolio liquidation problems with a linear decreasing impact
• Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
• Optimal execution strategy with an endogenously determined sales period
• The optimal control of institutional investors' liquidation cost
• Almost periodic solutions for an impulsive delay model of price fluctuations in commodity markets
• Stochastic maximum principle for optimal liquidation with control-dependent terminal time
• A sample-path approach to optimal position liquidation
• Optimal liquidation under stochastic liquidity
• Optimal trading of algorithmic orders in a liquidity fragmented market place
• Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
• Optimal liquidation under stochastic price impact
• scientific article; zbMATH DE number 7307119 (Why is no real title available?)
• A class of optimal liquidation problem with a nonlinear temporary market impact
• Optimal liquidation under partial information with price impact
• Optimal solution of the liquidation problem under execution and price impact risks

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