Dynamic trading policies with price impact
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Publication:953780
DOI10.1016/J.JEDC.2004.03.005zbMATH Open1202.91297OpenAlexW3125210341MaRDI QIDQ953780FDOQ953780
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.03.005
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal investment and consumption with transaction costs
- Continuous Auctions and Insider Trading
- The liquidity discount.
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Optimal Impulse Control of Portfolios
- Numerical analysis of a free-boundary singular control problem in financial economics
Cited In (30)
- Optimal execution with regime-switching market resilience
- Wright meets Markowitz: how standard portfolio theory changes when assets are technologies following experience curves
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Dynamic asset-liability management with frictions
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Option pricing for a large trader with price impact and liquidity costs
- A discrete-time optimal execution problem with market prices subject to random environments
- Adaptive basket liquidation
- The liquidity discount
- Mean–Variance Optimal Adaptive Execution
- Optimal trade execution: a mean quadratic variation approach
- Liquidity premium in the presence of stock market crises and background risk
- Nash equilibria for relative investors with (non)linear price impact
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
- Portfolio choice under transitory price impact
- Optimal Execution with Multiplicative Price Impact
- An optimal execution problem with market impact
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Optimal market dealing under constraints
- Optimal Liquidity Trading*
- Optimal Liquidation by a Large Investor
- Optimal execution with price impact under cumulative prospect theory
- Dynamic portfolio selection with market impact costs
- Large traders and illiquid options: hedging vs. manipulation
- The impact of illiquidity on the asset management of insurance companies
- A model of optimal portfolio selection under liquidity risk and price impact
- Finite horizon optimal execution with bounded rate of transaction
- Optimal liquidation under partial information with price impact
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