Optimal Basket Liquidation for CARA Investors is Deterministic
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Publication:3063877
DOI10.1080/13504860903565050zbMath1206.91077OpenAlexW3121572850MaRDI QIDQ3063877
Michael R. Tehranchi, Torsten Schöneborn, Alexander Schied
Publication date: 15 December 2010
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860903565050
Hamilton-Jacobi-Bellman equationutility maximizationoptimal liquidationalgorithmic tradingoptimal trade executionilliquid marketsfinite fuel controlmarket impact modelling
Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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Cites Work
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- A guided tour of new results on ``trade execution in illiquid markets
- More statistical properties of order books and price impact
- THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
- Order book approach to price impact
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal execution strategies in limit order books with general shape functions
- Price Manipulation and Quasi-Arbitrage
- Convex Analysis
- Stochastic finance. An introduction in discrete time
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