Dynamic liquidation under market impact

DOI10.1080/14697681003785934zbMATH Open1232.91726OpenAlexW2088967736MaRDI QIDQ2994855FDOQ2994855

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

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zbMATH Keywords

stochastic programmingtransaction coststrading costsliquidity costs

Mathematics Subject Classification ID

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

Cites Work

• Portfolio Selection with Transaction Costs
• Optimal investment and consumption with transaction costs
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Portfolio selection with transactions costs
• A model of optimal portfolio selection under liquidity risk and price impact
• Optimal Impulse Control of Portfolios
• On an Investment-Consumption Model with Transaction Costs
• A unified approach to portfolio optimization with linear transaction costs
• 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

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
• Title not available (Why is that?)
• 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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