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dc.contributor.authorGraewe, Paulwin
dc.contributor.authorHorst, Ulrich
dc.contributor.authorSéré, Eric
dc.date.accessioned2018-02-12T12:36:52Z
dc.date.available2018-02-12T12:36:52Z
dc.date.issued2017
dc.identifier.issn0304-4149
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17376
dc.language.isoenen
dc.subjectportfolio liquidationen
dc.subjectstochastic optimal controlen
dc.subjectsingular terminal valueen
dc.subject.ddc515en
dc.titleSmooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impacten
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider the stochastic control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit active orders to a primary market and passive orders to a dark pool. Our framework is flexible enough to allow for price-dependent impact functions describing the trading costs in the primary market and price-dependent adverse selection costs associated with dark pool trading. We prove that the value function can be characterized in terms of the unique smooth solution to a PDE with singular terminal value, establish its explicit asymptotic behavior at the terminal time, and give the optimal trading strategy in feedback form.en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol128en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2018-03
dc.relation.isversionofjnlpages979-1006en
dc.relation.isversionofdoi10.1016/j.spa.2017.06.013en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-02-12T12:33:35Z
hal.person.labIds212811
hal.person.labIds212811
hal.person.labIds60


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