Optimal Portfolio Liquidation for CARA Investors
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- Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
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More about this item
KeywordsLiquidity; illiquid markets; optimal liquidation strategies; dynamic trading strategies; algorithmic trading; utility maximization;
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-06 (All new papers)
- NEP-DGE-2007-10-06 (Dynamic General Equilibrium)
- NEP-FMK-2007-10-06 (Financial Markets)
- NEP-UPT-2007-10-06 (Utility Models & Prospect Theory)
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