Optimal Liquidity Trading*

From MaRDI portal
Publication:3374848


DOI10.1007/s10679-005-7591-5zbMath1125.91387MaRDI QIDQ3374848

Gur Huberman, Werner Stanzl

Publication date: 23 February 2006

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10679-005-7591-5


91B60: Trade models


Related Items

Optimal execution with nonlinear impact functions and trading-enhanced risk, Optimal order placement in limit order markets, OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT, Applying regression techniques in designing optimal trade execution strategy for an asset, Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution, GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION, IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING, New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact, Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics, Liquidation with self-exciting price impact, Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy, Single asset optimal trading strategies with stochastic dominance constraints, An optimal execution problem with market impact, Portfolio choice under transitory price impact, A note on the dynamic liquidity trading problem with a mean-variance objective, Stock repurchase with an adaptive reservation price: a study of the greedy policy, The impact of illiquidity on the asset management of insurance companies, Optimal execution in high-frequency trading with Bayesian learning, Optimal trade execution under jump diffusion process: a mean-VaR approach, A trade execution model under a composite dynamic coherent risk measure, Optimal execution with weighted impact functions: a quadratic programming approach, Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics, Liquidating illiquid collateral, RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY, Reduced form modeling of limit order markets, Mean–Variance Optimal Adaptive Execution, Efficient trading frontier: a shortage function approach, Optimal Execution in a Market with Small Investors, THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING