HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT

DOI10.1142/S0219024919500262zbMath1426.91255OpenAlexW2962316486WikidataQ127465747 ScholiaQ127465747MaRDI QIDQ5242951

Peter W. Duck, Hugo Eduardo Ramirez, Sydney D. Howell, Paul Johnson

Publication date: 8 November 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500262

zbMATH Keywords

stochastic controlfinite differencesliquiditysemi-Lagrangianhedge-fund management

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Optimal stochastic control, stochastic target problems, and backward SDE.
• Applied stochastic control of jump diffusions.
• Portfolio choice and pricing in illiquid markets
• Controlled Markov processes and viscosity solutions
• THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS
• Weak Dynamic Programming Principle for Viscosity Solutions
• Optimal portfolio, partial information and Malliavin calculus
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• User’s guide to viscosity solutions of second order partial differential equations
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Optimal execution with limit and market orders
• The Mathematics of Financial Derivatives
• OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
• Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• The Optimal Interaction between a Hedge Fund Manager and Investor
• Portfolio Selection with Transaction Costs

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