Optimal Investment with Transient Price Impact

DOI10.1137/18M1182267;zbMath1429.91302arXiv1804.07392MaRDI QIDQ4971979

Peter Bank, Moritz Voß

Publication date: 22 November 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07392

zbMATH Keywords

free boundary problemcalculus of variationsfinite planning horizonconvex analysistransient price impactproblem of maximizing expected utilitysingular optimal stochastic control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)

Related Items (7)

Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact ⋮ Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact ⋮ Scaling limits for super-replication with transient price impact ⋮ Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Optimal Execution: A Review

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