Optimal liquidation with high risk aversion and small linear price impact
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Publication:6581912
DOI10.1007/s10203-024-00435-3zbMATH Open1546.91248MaRDI QIDQ6581912
Yan Dolinsky, Leonid Dolinskyi
Publication date: 1 August 2024
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Cites Work
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- Optimal Basket Liquidation for CARA Investors is Deterministic
- Optimal Investment with Transient Price Impact
- Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
- Optimal trade execution in order books with stochastic liquidity
- Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
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