OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR
From MaRDI portal
Publication:2927947
DOI10.1111/mafi.12033zbMath1314.91250OpenAlexW1557794357MaRDI QIDQ2927947
Publication date: 5 November 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12033
singular controloptimal liquidationoptimal executionlimit order bookCARA utilitydiscontinuous intervention boundary
Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (7)
Equilibrium Model of Limit Order Books: A Mean-Field Game View ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ The calculus of variations for processes with independent increments ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ Optimal Execution with Multiplicative Price Impact ⋮ OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL
Cites Work
- Unnamed Item
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Liquidity risk and arbitrage pricing theory
- No-dynamic-arbitrage and market impact
- Optimal Execution in a General One-Sided Limit-Order Book
- Optimal Basket Liquidation for CARA Investors is Deterministic
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
- Optimal execution strategies in limit order books with general shape functions
- Price Manipulation and Quasi-Arbitrage
This page was built for publication: OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR
