Optimal liquidation strategies and their implications

DOI10.1016/J.JEDC.2006.07.003zbMath1201.91190OpenAlexW2063427656MaRDI QIDQ1017047

Mitch Warachka, Christopher Ting, Yonggan Zhao

Publication date: 18 May 2009

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

Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/2697

zbMATH Keywords

stochastic controlstochastic volatilitytrading strategytransaction costsliquidity risk

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (5)

Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ Statistical characteristics of price impact in high-frequency trading ⋮ Large traders and illiquid options: hedging vs. manipulation ⋮ Optimal liquidation problem in illiquid markets ⋮ Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity

Cites Work

• Unnamed Item
• Liquidity risk and arbitrage pricing theory
• The Liquidity Discount

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