Duality theory for exponential utility-based hedging in the Almgren-Chriss model

DOI10.1017/JPR.2023.49MaRDI QIDQ6500021

Yan Dolinsky

Publication date: 10 May 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

dualityexponential utilityBachelier modellinear price impact

Mathematics Subject Classification ID

Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Cites Work

• On general minimax theorems
• What if we knew what the future brings? Optimal investment for a frontrunner with price impact
• Hedging, arbitrage and optimality with superlinear frictions
• LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal Basket Liquidation for CARA Investors is Deterministic
• Exponential Hedging and Entropic Penalties
• Optimal Investment with Transient Price Impact
• Optimal trade execution in order books with stochastic liquidity
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
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