Optimal Basket Liquidation for CARA Investors is Deterministic
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References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- Damiano Brigo & Jan Liinev, 2005. "On the distributional distance between the lognormal LIBOR and swap market models," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 433-442.
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KeywordsMarket impact modelling; illiquid markets; optimal liquidation; optimal trade execution; algorithmic trading; utility maximization; Hamilton-Jacobi-Bellman equation; finite fuel control;
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