Optimal Execution and Block Trade Pricing: A General Framework
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Publication:4682484
DOI10.1080/1350486X.2015.1042188zbMath1396.91687arXiv1210.6372OpenAlexW1571951625MaRDI QIDQ4682484
Publication date: 18 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.6372
Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
Related Items (10)
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT ⋮ Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Accelerated Share Repurchases Under Stochastic Volatility ⋮ Market making with minimum resting times ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ Optimal execution with stochastic delay ⋮ Double-Execution Strategies Using Path Signatures ⋮ Dynamic optimal execution in a mixed-market-impact Hawkes price model
Cites Work
- Optimal trade execution: a mean quadratic variation approach
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Conjugate convex functions in optimal control and the calculus of variations
- Mean–Variance Optimal Adaptive Execution
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
- Optimal Basket Liquidation for CARA Investors is Deterministic
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal Trading with Stochastic Liquidity and Volatility
- Optimal Portfolio Liquidation with Limit Orders
- Optimal liquidation in dark pools
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
- PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
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