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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

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Author Info
Alexander Schied ()
Torsten Schöneborn ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-008-0082-8
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 13 (2009)
Issue (Month): 2 (April)
Pages: 181-204
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Handle: RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204

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Related research
Keywords: Optimal liquidation; Optimal trade execution; Aggressive in the money; Passive in the money; Liquidity risk; Market impact; Absolute risk aversion; Hamilton–Jacobi–Bellman equation; Nonlinear partial differential equation; Sensitivity analysis; 91B28; 93E20; 60G35; G11; G33;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Umut Çetin & L. C. G. Rogers, 2007. "Modeling Liquidity Effects In Discrete Time," Mathematical Finance, Blackwell Publishing, vol. 17(1), pages 15-29. [Downloadable!] (restricted)
  2. Aur\'elien Alfonsi & Alexander Schied & Antje Schulz, 2007. "Optimal execution strategies in limit order books with general shape functions," Quantitative Finance Papers 0708.1756, arXiv.org, revised Sep 2007. [Downloadable!]
  3. Schied, Alexander & Schöneborn, Torsten, 2007. "Optimal Portfolio Liquidation for CARA Investors," MPRA Paper 5075, University Library of Munich, Germany. [Downloadable!]
  4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
  5. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April. [Downloadable!] (restricted)
  6. Robert F. Almgren, 2003. "Optimal execution with nonlinear impact functions and trading-enhanced risk," Applied Mathematical Finance, Taylor and Francis Journals, vol. 10(1), pages 1-18, January. [Downloadable!] (restricted)
  7. Bruce Ian Carlin & Miguel Sousa Lobo & S. Viswanathan, 2007. "Episodic Liquidity Crises: Cooperative and Predatory Trading," Journal of Finance, American Finance Association, vol. 62(5), pages 2235-2274, October. [Downloadable!] (restricted)
  8. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Blackwell Publishing, vol. 11(4), pages 447-474. [Downloadable!] (restricted)
  9. Schoeneborn, Torsten & Schied, Alexander, 2007. "Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision," MPRA Paper 5548, University Library of Munich, Germany. [Downloadable!]
  10. He, Hua & Mamaysky, Harry, 2005. "Dynamic trading policies with price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 29(5), pages 891-930, May. [Downloadable!] (restricted)
  11. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Quantitative Finance Papers 0901.0091, arXiv.org. [Downloadable!]
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This page was last updated on 2009-11-25.

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