Optimal portfolio execution problem with stochastic price impact
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Publication:2288736
DOI10.1016/j.automatica.2019.108739zbMath1430.91086OpenAlexW2992175681MaRDI QIDQ2288736
Chi Chung Siu, Guiyuan Ma, Robert J. Elliott, Song-Ping Zhu
Publication date: 20 January 2020
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2019.108739
stochastic optimal controlMarkov jump systemapplication in financecoupled differential Riccati equationsoptimal portfolio execution problemregime-switching price impact
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Optimal solution of the liquidation problem under execution and price impact risks ⋮ Dynamic trading with Markov liquidity switching ⋮ Dynamic asset-liability management with frictions ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks
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