A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION

DOI10.1111/mafi.12108zbMath1397.91561arXiv1312.7360OpenAlexW2154016330MaRDI QIDQ5283403

Tao Zhang, Alexander Schied

Publication date: 21 July 2017

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.7360

zbMATH Keywords

optimal portfolio liquidationoptimal trade executionilliquid marketsdifferential game with state constraints

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Portfolio theory (91G10)

Related Items (12)

An FBSDE approach to market impact games with stochastic parameters ⋮ A two-player portfolio tracking game ⋮ Optimal liquidation under stochastic liquidity ⋮ High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ Mean-Field Game Strategies for Optimal Execution ⋮ Stochastic differential game in high frequency market ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ A class of optimal portfolio liquidation problems with a linear decreasing impact ⋮ Optimal portfolio execution problem with stochastic price impact ⋮ A Market Impact Game Under Transient Price Impact ⋮ A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition

Cites Work

• Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Linear boundary value problems for systems of ordinary differential equations on non compact intervals
• Mean–Variance Optimal Adaptive Execution
• Optimal Basket Liquidation for CARA Investors is Deterministic
• Optimal execution with nonlinear impact functions and trading-enhanced risk

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