Optimal liquidation in a limit order book for a risk-averse investor
type: Item
instance of: scholarly article
zbMATH Open document ID: 1314.91250
author: Arne Løkka
published in: Mathematical Finance
publication date: 2014-11-05T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49N90
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6365990
zbMATH Keywords: limit order book
zbMATH Keywords: optimal liquidation
zbMATH Keywords: optimal execution
zbMATH Keywords: CARA utility
zbMATH Keywords: singular control
zbMATH Keywords: discontinuous intervention boundary
MaRDI profile type: Publication
full work available at URL: mafi.12033
OpenAlex ID: W1557794357
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cites work: No-dynamic-arbitrage and market impact
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cites work: Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
cites work: Optimal Basket Liquidation for CARA Investors is Deterministic
DOI: 10.1111/MAFI.12033
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title: Optimal liquidation in a limit order book for a risk-averse investor
description: scientific article; zbMATH DE number 6365990