Optimal Execution with Multiplicative Price Impact
From MaRDI portal
Publication:5250046
DOI10.1137/120894622zbMath1310.93083OpenAlexW1976590557MaRDI QIDQ5250046
Publication date: 15 May 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/65409/1/Optimal%20execution.pdf
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Related Items (22)
Optimal asset liquidation with multiplicative transient price impact ⋮ Numerical approximation for a portfolio optimization problem under liquidity risk and costs ⋮ High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Irreversible reinsurance: a singular control approach ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Singular stochastic control model for algae growth management in dam downstream ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ Optimal liquidation under partial information with price impact ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Irreversible capital accumulation with economic impact ⋮ An optimal extraction problem with price impact ⋮ Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ⋮ On an optimal extraction problem with regime switching ⋮ A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs ⋮ Optimal installation of renewable electricity sources: the case of Italy ⋮ HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL ⋮ Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem ⋮ Optimal Execution: A Review
Cites Work
- Unnamed Item
- Optimal trade execution: a mean quadratic variation approach
- Dynamic trading policies with price impact
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Generalized solution in singular stochastic control: The nondegenerate problem
- Optimal investment and consumption with transaction costs
- No-dynamic-arbitrage and market impact
- Price Dynamics in a Markovian Limit Order Market
- OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR
- Optimal Execution in a General One-Sided Limit-Order Book
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal Basket Liquidation for CARA Investors is Deterministic
- Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Degenerate Variance Control of a One-Dimensional Diffusion
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
- TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
- Optimal execution strategies in limit order books with general shape functions
- Price Manipulation and Quasi-Arbitrage
- Portfolio Selection with Transaction Costs
This page was built for publication: Optimal Execution with Multiplicative Price Impact
