Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

DOI10.1007/s00780-008-0082-8zbMath1199.91190OpenAlexW3121773157MaRDI QIDQ964670

Torsten Schöneborn, Alexander Schied

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/7105/1/MPRA_paper_7105.pdf

zbMATH Keywords

Hamilton-Jacobi-Bellman equation sensitivity analysis nonlinear partial differential equation optimal liquidation market impact liquidity risk optimal trade execution absolute risk aversion aggressive in the money passive in the money

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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