A state-constrained differential game arising in optimal portfolio liquidation
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Publication:5283403
DOI10.1111/MAFI.12108zbMATH Open1397.91561arXiv1312.7360OpenAlexW2154016330MaRDI QIDQ5283403FDOQ5283403
Authors: Alexander Schied, Tao Zhang 
Publication date: 21 July 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Abstract: We consider risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state constraints. The state constraints enter the problem as terminal boundary conditions for finite and infinite time horizons. We prove existence and uniqueness of Nash equilibria and give closed-form solutions in some special cases. We also analyze qualitative properties of the equilibrium strategies and provide corresponding financial interpretations.
Full work available at URL: https://arxiv.org/abs/1312.7360
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Cites Work
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Cited In (18)
- A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
- Stochastic differential game in high frequency market
- Mean-Field Game Strategies for Optimal Execution
- A Market Impact Game Under Transient Price Impact
- Optimal trading and competition with information in the price impact model
- Nash equilibria for relative investors with (non)linear price impact
- Portfolio liquidation games with self‐exciting order flow
- A class of optimal portfolio liquidation problems with a linear decreasing impact
- An FBSDE approach to market impact games with stochastic parameters
- Endogenous Formation of Limit Order Books: Dynamics Between Trades
- A two-player portfolio tracking game
- Optimal portfolio execution problem with stochastic price impact
- Optimal liquidation under stochastic liquidity
- A class of optimal liquidation problem with a nonlinear temporary market impact
- High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact
- A Stackelberg order execution game
- Instabilities in multi-asset and multi-agent market impact games
- Title not available (Why is that?)
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