Dynamic liquidation under market impact
From MaRDI portal
Publication:2994855
DOI10.1080/14697681003785934zbMath1232.91726OpenAlexW2088967736MaRDI QIDQ2994855
Thangaraj Draviam, Yuying Li, Thomas F. Coleman
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
Stochastic programming (90C15) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Related Items
Almost periodic solutions for an impulsive delay model of price fluctuations in commodity markets ⋮ Optimal trading of algorithmic orders in a liquidity fragmented market place
Cites Work
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Portfolio selection with transactions costs
- Optimal investment and consumption with transaction costs
- Portfolio optimisation with strictly positive transaction costs and impulse control
- A unified approach to portfolio optimization with linear transaction costs
- A model of optimal portfolio selection under liquidity risk and price impact
- Discrete maximum principle for finite-difference operators
- Optimal Impulse Control of Portfolios
- Impulse control of portfolios with jumps and transaction costs
- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Intertemporal portfolio optimization with small transaction costs and stochastic variance
- On an Investment-Consumption Model with Transaction Costs
- Portfolio Selection with Transaction Costs