A guided tour of new results on ``trade execution in illiquid markets

DOI10.1007/s11857-010-0106-2zbMath1195.91150OpenAlexW2064063023MaRDI QIDQ977311

Torsten Schöneborn

Publication date: 21 June 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-010-0106-2

zbMATH Keywords

transaction costsasset priceilliquid marketsdynamic portfolio liquidation

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

Optimal Basket Liquidation for CARA Investors is Deterministic

Cites Work

• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Optimal Basket Liquidation for CARA Investors is Deterministic
• Optimal execution with nonlinear impact functions and trading-enhanced risk

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