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

Citations

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Cited by:

  1. Olivier Gu'eant, 2012. "Optimal execution and block trade pricing: a general framework," Papers 1210.6372, arXiv.org, revised Dec 2014.
  2. Felix Dammann & Giorgio Ferrari, 2023. "Optimal execution with multiplicative price impact and incomplete information on the return," Finance and Stochastics, Springer, vol. 27(3), pages 713-768, July.
  3. Daniel Hern'andez-Hern'andez & Harold A. Moreno-Franco & Jos'e Luis P'erez, 2017. "Periodic strategies in optimal execution with multiplicative price impact," Papers 1705.00284, arXiv.org, revised May 2018.
  4. Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2019. "Resolving asset pricing puzzles using price-impact," Papers 1910.02466, arXiv.org, revised Jun 2020.
  5. 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.
  6. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
  7. Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised May 2017.
  8. Martin D. D. Evans, 2019. "Front-Running and Collusion in Forex Trading," Working Papers gueconwpa~19-19-02, Georgetown University, Department of Economics.
  9. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  10. Ljudmila A. Bordag, 2019. "Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset," Papers 1910.07417, arXiv.org, revised May 2020.
  11. Lokka, A. & Xu, Junwei, 2020. "Optimal liquidation trajectories for the Almgren-Chriss model," LSE Research Online Documents on Economics 106977, London School of Economics and Political Science, LSE Library.
  12. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," Papers 1503.07007, arXiv.org, revised Sep 2015.
  13. Ricardo Josa-Fombellida & Juan Pablo Rincón-Zapatero, 2010. "On a PDE Arising in One-Dimensional Stochastic Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 147(1), pages 1-26, October.
  14. Amit Chaudhary & Daniele Pinna, 2022. "A multi-asset, agent-based approach applied to DeFi lending protocol modelling," Papers 2211.08870, arXiv.org, revised Dec 2022.
  15. Edward W. Sun & Timm Kruse, 2013. "Economic Modeling for Optimal Trading of Financial Asset in Volatile Market," Economics Bulletin, AccessEcon, vol. 33(3), pages 1788-1795.
  16. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CARF F-Series CARF-F-360, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2015.
  17. Nikolay Andreev, 2019. "Robust Portfolio Optimization in an Illiquid Market in Discrete-Time," Mathematics, MDPI, vol. 7(12), pages 1-16, November.
  18. Peter Bank & Dmitry Kramkov, 2015. "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, vol. 19(2), pages 449-472, April.
  19. Qixuan Luo & Yu Shi & Handong Li, 2021. "Research on Portfolio Liquidation Strategy under Discrete Times," Papers 2103.15400, arXiv.org.
  20. Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
  21. Takashi Kato, 2011. "An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process," Papers 1107.1787, arXiv.org, revised Jul 2014.
  22. Edward W. Sun & Timm Kruse & Yi-Ting Chen, 2019. "Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity," Annals of Operations Research, Springer, vol. 281(1), pages 315-347, October.
  23. Masaaki Fujii, 2015. "Optimal Position Management for a Market Maker with Stochastic Price Impacts," CIRJE F-Series CIRJE-F-963, CIRJE, Faculty of Economics, University of Tokyo.
  24. Mourad Lazgham, 2015. "Viscosity properties with singularities in a state-constrained expected utility maximization problem," Papers 1510.03584, arXiv.org.
  25. Alexander Weiss, 2009. "Executing large orders in a microscopic market model," Papers 0904.4131, arXiv.org, revised Jan 2010.
  26. Paolo Guasoni & Marko H. Weber, 2018. "Rebalancing Multiple Assets with Mutual Price Impact," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 618-653, November.
  27. Tim Leung & Yoshihiro Shirai, 2015. "Optimal derivative liquidation timing under path-dependent risk penalties," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-32.
  28. Mauricio Junca, 2011. "Stochastic impulse control on optimal execution with price impact and transaction cost," Papers 1103.3482, arXiv.org, revised Jan 2013.
  29. Seungki Min & Ciamac C. Moallemi & Costis Maglaras, 2022. "Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective," Papers 2201.11962, arXiv.org.
  30. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  31. Siu, Chi Chung & Guo, Ivan & Zhu, Song-Ping & Elliott, Robert J., 2019. "Optimal execution with regime-switching market resilience," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 17-40.
  32. Fabien Guilbaud & Mohamed Mnif & Huy^en Pham, 2010. "Numerical methods for an optimal order execution problem," Papers 1006.0768, arXiv.org.
  33. Dammann, Felix & Ferrari, Giorgio, 2022. "Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return," Center for Mathematical Economics Working Papers 663, Center for Mathematical Economics, Bielefeld University.
  34. Takashi Kato, 2014. "An optimal execution problem with market impact," Finance and Stochastics, Springer, vol. 18(3), pages 695-732, July.
  35. Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak Kwong Wong, 2017. "Optimal Liquidation Problems in a Randomly-Terminated Horizon," Papers 1709.05837, arXiv.org.
  36. Alexandre Roch, 2023. "Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-29, March.
  37. Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
  38. Somayeh Moazeni & Thomas Coleman & Yuying Li, 2013. "Regularized robust optimization: the optimal portfolio execution case," Computational Optimization and Applications, Springer, vol. 55(2), pages 341-377, June.
  39. Olivier Gu'eant, 2013. "Permanent market impact can be nonlinear," Papers 1305.0413, arXiv.org, revised Mar 2014.
  40. Chen, Jingnan & Feng, Liming & Peng, Jiming, 2015. "Optimal deleveraging with nonlinear temporary price impact," European Journal of Operational Research, Elsevier, vol. 244(1), pages 240-247.
  41. Arne Lokka & Junwei Xu, 2020. "Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes," Papers 2002.03376, arXiv.org, revised Sep 2020.
  42. Gerry Tsoukalas & Jiang Wang & Kay Giesecke, 2019. "Dynamic Portfolio Execution," Management Science, INFORMS, vol. 67(5), pages 2015-2040, May.
  43. repec:dau:papers:123456789/7391 is not listed on IDEAS
  44. Katia Colaneri & Zehra Eksi & Rudiger Frey & Michaela Szolgyenyi, 2016. "Optimal Liquidation under Partial Information with Price Impact," Papers 1606.05079, arXiv.org, revised Jun 2019.
  45. Phillip Monin, 2014. "Hedging Market Risk in Optimal Liquidation," Working Papers 14-08, Office of Financial Research, US Department of the Treasury.
  46. Felix Dammann & Giorgio Ferrari, 2022. "Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return," Papers 2202.10414, arXiv.org, revised Nov 2022.
  47. Aurélien Alfonsi & Alexander Schied, 2010. "Optimal trade execution and absence of price manipulations in limit order book models," Post-Print hal-00397652, HAL.
  48. Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2022. "Learning about latent dynamic trading demand $$^*$$ ∗," Mathematics and Financial Economics, Springer, volume 16, number 1, December.
  49. Olivier Gu'eant, 2012. "Execution and block trade pricing with optimal constant rate of participation," Papers 1210.7608, arXiv.org, revised Dec 2013.
  50. Nikolai Dokuchaev, 2010. "Optimal gradual liquidation of equity from a risky asset," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1305-1308.
  51. Peter Bank & Dmitry Kramkov, 2011. "A model for a large investor trading at market indifference prices. I: single-period case," Papers 1110.3224, arXiv.org, revised Dec 2013.
  52. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
  53. Peter Bank & Dmitry Kramkov, 2011. "A model for a large investor trading at market indifference prices. II: Continuous-time case," Papers 1110.3229, arXiv.org, revised Sep 2015.
  54. Ibrahim Ekren & Johannes Muhle-Karbe, 2017. "Portfolio Choice with Small Temporary and Transient Price Impact," Papers 1705.00672, arXiv.org, revised Apr 2020.
  55. Jan Kallsen & Johannes Muhle-Karbe, 2014. "High-Resilience Limits of Block-Shaped Order Books," Papers 1409.7269, arXiv.org.
  56. Matteo Del Vigna, 2011. "Market equilibrium with heterogeneous behavioural and classical investors' preferences," Working Papers - Mathematical Economics 2011-09, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  57. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2008. "On one-dimensional stochastic control problems: applications to investment models," UC3M Working papers. Economics we086630, Universidad Carlos III de Madrid. Departamento de Economía.
  58. Peter Bank & Mete Soner & Moritz Vo{ss}, 2015. "Hedging with Temporary Price Impact," Papers 1510.03223, arXiv.org, revised Jul 2016.
  59. Mourad Lazgham, 2015. "Regularity properties in a state-constrained expected utility maximization problem," Papers 1510.03079, arXiv.org.
  60. Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
  61. T. R. Hurd & Quentin H. Shao & Tuan Tran, 2016. "Optimal Portfolios of Illiquid Assets," Papers 1610.00395, arXiv.org.
  62. Erhan Bayraktar & Thomas Cayé & Ibrahim Ekren, 2021. "Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 36-108, January.
  63. Arne Lokka & Junwei Xu, 2020. "Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process," Papers 2002.03379, arXiv.org, revised Oct 2020.
  64. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
  65. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
  66. Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
  67. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
  68. Jin Hyuk Choi & Heeyoung Kwon & Kasper Larsen, 2022. "Trading constraints in continuous-time Kyle models," Papers 2206.08117, arXiv.org.
  69. Olivier Gu'eant & Jean-Michel Lasry & Jiang Pu, 2014. "A convex duality method for optimal liquidation with participation constraints," Papers 1407.4614, arXiv.org, revised Dec 2014.
  70. Juan M. Romero & Jorge Bautista, 2016. "Exact solutions for optimal execution of portfolios transactions and the Riccati equation," Papers 1601.07961, arXiv.org.
  71. repec:hum:wpaper:sfb649dp2011-053 is not listed on IDEAS
  72. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
  73. Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-wen & Wong, Tak Kwong & Zhu, Dong-Mei, 2024. "Viscosity solution for optimal liquidation problems with randomly-terminated horizon," Finance Research Letters, Elsevier, vol. 61(C).
  74. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
  75. Taylor, Nick, 2016. "Roll strategy efficiency in commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 14-34.
  76. Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner, 2014. "Trading with Small Price Impact," Papers 1402.5304, arXiv.org, revised Mar 2015.
  77. Jianchang Zhu & Leilei Zhang & Xuchu Sun, 2024. "Optimal liquidation using extended trading close for multiple trading days," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-33, December.
  78. Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Papers 0901.0091, arXiv.org.
  79. Nikolay A. Andreev, 2015. "Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits," HSE Working papers WP BRP 45/FE/2015, National Research University Higher School of Economics.
  80. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
  81. Yi Li & Ju’e Guo & Kin Keung Lai & Jinzhao Shi, 2022. "Optimal portfolio liquidation with cross-price impacts on trading," Operational Research, Springer, vol. 22(2), pages 1083-1102, April.
  82. David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo, 2010. "Optimal Portfolio Liquidation with Distress Risk," Management Science, INFORMS, vol. 56(11), pages 1997-2014, November.
  83. Julien Vaes & Raphael Hauser, 2018. "Optimal Trade Execution with Uncertain Volume Target," Papers 1810.11454, arXiv.org, revised Sep 2021.
  84. Mourad Lazgham, 2018. "Regularity properties in a state-constrained expected utility maximization problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 185-240, October.
  85. Peter Kratz & Torsten Sch�neborn, 2014. "Optimal liquidation in dark pools," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1519-1539, September.
  86. Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2023. "Price impact in Nash equilibria," Finance and Stochastics, Springer, vol. 27(2), pages 305-340, April.
  87. Tim Leung & Peng Liu, 2012. "Risk Premia And Optimal Liquidation Of Credit Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-34.
  88. Ren Liu & Johannes Muhle-Karbe & Marko H. Weber, 2014. "Rebalancing with Linear and Quadratic Costs," Papers 1402.5306, arXiv.org, revised Sep 2017.
  89. Baojun Bian & Min Dai & Lishang Jiang & Qing Zhang & Yifei Zhong, 2011. "Optimal Decision for Selling an Illiquid Stock," Journal of Optimization Theory and Applications, Springer, vol. 151(2), pages 402-417, November.
  90. 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.
  91. Colaneri, Katia & Eksi, Zehra & Frey, Rüdiger & Szölgyenyi, Michaela, 2020. "Optimal liquidation under partial information with price impact," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1913-1946.
  92. Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-24, December.
  93. Xiao Chen & Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2021. "Learning about latent dynamic trading demand," Papers 2105.13401, arXiv.org, revised Aug 2021.
  94. Peter Kratz & Torsten Schoneborn, 2012. "Portfolio liquidation in dark pools in continuous time," Papers 1201.6130, arXiv.org, revised Aug 2012.
  95. Jingnan Chen & Liming Feng & Jiming Peng & Yinyu Ye, 2014. "Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact," Operations Research, INFORMS, vol. 62(1), pages 195-206, February.
  96. Masashi Ieda, 2015. "A dynamic optimal execution strategy under stochastic price recovery," Papers 1502.04521, arXiv.org.
  97. Thibaut Mastrolia & Hao Wang, 2025. "Regulation or Competition:Major-Minor Optimal Liquidation across Dark and Lit Pools," Papers 2509.03916, arXiv.org.
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