The optimal control of institutional investors' liquidation cost

zbMATH Open1174.91430MaRDI QIDQ3609922FDOQ3609922

Authors Fubing Liu, Hailong Liu

Publication date 6 March 2009

zbMATH Keywords

optimal controlliquidity riskinstitutional investorsliquidation cost

Mathematics Subject Classification ID

Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

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Cited in

(3)

• Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
• Research on optimal liquidation strategy based on supply curves
• Optimal control strategy of institutional investor's execution cost

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