Optimal portfolio liquidation with additional information

DOI10.1007/s11579-015-0147-3zbMath1404.91238OpenAlexW1019129181MaRDI QIDQ253110

Stefan Ankirchner, Anne Eyraud-Loisel, Christophette Blanchet-Scalliet

Publication date: 8 March 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-015-0147-3

zbMATH Keywords

HJB equationenlargement of filtrationadditional informationoptimal liquidationprice impact

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (6)

What if we knew what the future brings? Optimal investment for a frontrunner with price impact ⋮ Market-making strategy with asymmetric information and regime-switching ⋮ Optimal solution of the liquidation problem under execution and price impact risks ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact ⋮ Trading against disorderly liquidation of a large position under asymmetric information and market impact

Cites Work

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• Optimal Basket Liquidation for CARA Investors is Deterministic
• Insider Trading in a Continuous Time Market Model
• Anticipative portfolio optimization
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