Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact
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- Paulwin Graewe & Ulrich Horst & Eric S'er'e, 2013. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Papers 1309.0474, arXiv.org, revised Jun 2017.
References listed on IDEAS
- Florian Klock & Alexander Schied & Yuemeng Sun, 2012. "Price manipulation in a market impact model with dark pool," Papers 1205.4008, arXiv.org, revised May 2014.
- Forsyth, P.A. & Kennedy, J.S. & Tse, S.T. & Windcliff, H., 2012. "Optimal trade execution: A mean quadratic variation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1971-1991.
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- repec:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2 is not listed on IDEAS
- Paulwin Graewe & Ulrich Horst & Jinniao Qiu, 2013. "A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions," Papers 1309.0461, arXiv.org, revised Jan 2015.
- T Kruse & A Popier, 2015. "Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting," Papers 1504.01150, arXiv.org, revised Dec 2015.
- Ulrich Horst & Jinniao Qiu & Qi Zhang, 2014. "A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition," Papers 1407.0108, arXiv.org, revised Jul 2015.
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Keywordsportfolio liquidation; stochastic optimal control; singular terminal value;
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