Dynamic trading policies with price impact

DOI10.1016/j.jedc.2004.03.005zbMath1202.91297OpenAlexW3125210341MaRDI QIDQ953780

Hua He, Harry Mamaysky

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.03.005

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (24)

Mean–Variance Optimal Adaptive Execution ⋮ Adaptive basket liquidation ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Optimal execution with price impact under cumulative prospect theory ⋮ Optimal market dealing under constraints ⋮ Portfolio choice under transitory price impact ⋮ Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies ⋮ Option pricing for a large trader with price impact and liquidity costs ⋮ A Hamilton-Jacobi-Bellman approach to optimal trade execution ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ An optimal execution problem with market impact ⋮ Large traders and illiquid options: hedging vs. manipulation ⋮ Optimal execution with regime-switching market resilience ⋮ Wright meets Markowitz: how standard portfolio theory changes when assets are technologies following experience curves ⋮ The impact of illiquidity on the asset management of insurance companies ⋮ A model of optimal portfolio selection under liquidity risk and price impact ⋮ Optimal liquidation under partial information with price impact ⋮ Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets ⋮ Liquidity premium in the presence of stock market crises and background risk ⋮ Dynamic portfolio selection with market impact costs ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ Optimal Execution with Multiplicative Price Impact ⋮ Optimal execution strategy in the presence of permanent price impact and fixed transaction cost ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Numerical analysis of a free-boundary singular control problem in financial economics
• Optimal investment and consumption with transaction costs
• The Liquidity Discount
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Continuous Auctions and Insider Trading
• Optimal Impulse Control of Portfolios

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