| dc.contributor.author | Graewe, Paulwin | |
| dc.contributor.author | Horst, Ulrich | |
| dc.contributor.author | Séré, Eric | |
| dc.date.accessioned | 2018-02-12T12:36:52Z | |
| dc.date.available | 2018-02-12T12:36:52Z | |
| dc.date.issued | 2017 | |
| dc.identifier.issn | 0304-4149 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/17376 | |
| dc.language.iso | en | en |
| dc.subject | portfolio liquidation | en |
| dc.subject | stochastic optimal control | en |
| dc.subject | singular terminal value | en |
| dc.subject.ddc | 515 | en |
| dc.title | Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact | en |
| dc.type | Article accepté pour publication ou publié | |
| dc.description.abstracten | We 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.isversionofjnlname | Stochastic Processes and their Applications | |
| dc.relation.isversionofjnlvol | 128 | en |
| dc.relation.isversionofjnlissue | 3 | en |
| dc.relation.isversionofjnldate | 2018-03 | |
| dc.relation.isversionofjnlpages | 979-1006 | en |
| dc.relation.isversionofdoi | 10.1016/j.spa.2017.06.013 | en |
| dc.relation.isversionofjnlpublisher | Elsevier | en |
| dc.subject.ddclabel | Analyse | en |
| dc.relation.forthcoming | non | en |
| dc.relation.forthcomingprint | non | en |
| dc.description.ssrncandidate | non | en |
| dc.description.halcandidate | non | en |
| dc.description.readership | recherche | en |
| dc.description.audience | International | en |
| dc.relation.Isversionofjnlpeerreviewed | oui | en |
| dc.relation.Isversionofjnlpeerreviewed | oui | en |
| dc.date.updated | 2018-02-12T12:33:35Z | |
| hal.person.labIds | 212811 | |
| hal.person.labIds | 212811 | |
| hal.person.labIds | 60 | |
