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Optimal Basket Liquidation for CARA Investors is Deterministic

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. Phillip Monin, 2014. "Hedging Market Risk in Optimal Liquidation," Working Papers 14-08, Office of Financial Research, US Department of the Treasury.
  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. Xiangge Luo & Alexander Schied, 2018. "Nash equilibrium for risk-averse investors in a market impact game with transient price impact," Papers 1807.03813, arXiv.org, revised Jun 2019.
  5. Aurélien Alfonsi & Alexander Schied, 2010. "Optimal trade execution and absence of price manipulations in limit order book models," Post-Print hal-00397652, HAL.
  6. Olivier Gu'eant, 2012. "Execution and block trade pricing with optimal constant rate of participation," Papers 1210.7608, arXiv.org, revised Dec 2013.
  7. Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
  8. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
  9. Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised May 2017.
  10. Alexander Schied & Tao Zhang, 2013. "A state-constrained differential game arising in optimal portfolio liquidation," Papers 1312.7360, arXiv.org, revised Jul 2015.
  11. Leonid Dolinskyi & Yan Dolinsky, 2024. "Optimal liquidation with high risk aversion and small linear price impact," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 183-198, June.
  12. 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).
  13. Francesco Cordoni & Fabrizio Lillo, 2024. "Instabilities in multi-asset and multi-agent market impact games," Annals of Operations Research, Springer, vol. 336(1), pages 505-539, May.
  14. Olivier Guéant & Jiang Pu, 2017. "Option Pricing And Hedging With Execution Costs And Market Impact," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 803-831, July.
  15. 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.
  16. Yinhong Dong & Donglei Du & Qiaoming Han & Jianfeng Ren & Dachuan Xu, 2024. "A Stackelberg order execution game," Annals of Operations Research, Springer, vol. 336(1), pages 571-604, May.
  17. Graewe, Paulwin & Horst, Ulrich & Séré, Eric, 2018. "Smooth solutions to portfolio liquidation problems under price-sensitive market impact," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 979-1006.
  18. T. R. Hurd & Quentin H. Shao & Tuan Tran, 2016. "Optimal Portfolios of Illiquid Assets," Papers 1610.00395, arXiv.org.
  19. 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.
  20. Joaquin Fernandez-Tapia & Olivier Gu'eant, 2020. "Recipes for hedging exotics with illiquid vanillas," Papers 2005.10064, arXiv.org, revised May 2020.
  21. 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.
  22. 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.
  23. 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.
  24. Simon Clinet & Jean-Franc{c}ois Perreton & Serge Reydellet, 2021. "Optimal trading: a model predictive control approach," Papers 2110.11008, arXiv.org, revised Nov 2021.
  25. M. Schneider & F. Lillo, 2019. "Cross-impact and no-dynamic-arbitrage," Quantitative Finance, Taylor & Francis Journals, vol. 19(1), pages 137-154, January.
  26. Peter Bank & Moritz Vo{ss}, 2018. "Optimal investment with transient price impact," Papers 1804.07392, arXiv.org.
  27. Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner, 2014. "Trading with Small Price Impact," Papers 1402.5304, arXiv.org, revised Mar 2015.
  28. 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.
  29. Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
  30. Aur'elien Alfonsi & Alexander Schied & Florian Klock, 2013. "Multivariate transient price impact and matrix-valued positive definite functions," Papers 1310.4471, arXiv.org, revised Sep 2015.
  31. Mourad Lazgham, 2015. "Viscosity properties with singularities in a state-constrained expected utility maximization problem," Papers 1510.03584, arXiv.org.
  32. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium Returns with Transaction Costs," Post-Print hal-01569408, HAL.
  33. Mauricio Junca, 2011. "Stochastic impulse control on optimal execution with price impact and transaction cost," Papers 1103.3482, arXiv.org, revised Jan 2013.
  34. 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.
  35. Olivier Gu'eant & Jiang Pu, 2013. "Option pricing and hedging with execution costs and market impact," Papers 1311.4342, arXiv.org, revised Apr 2015.
  36. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2017. "Equilibrium Returns with Transaction Costs," Papers 1707.08464, arXiv.org, revised Apr 2018.
  37. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  38. Jana Bielagk & Ulrich Horst & Santiago Moreno--Bromberg, 2016. "A Principal-Agent Model of Trading Under Market Impact -Crossing networks interacting with dealer markets-," Papers 1607.04047, arXiv.org, revised Aug 2016.
  39. 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.
  40. Bruno Bouchard & Masaaki Fukasawa & Martin Herdegen & Johannes Muhle-Karbe, 2018. "Equilibrium returns with transaction costs," Finance and Stochastics, Springer, vol. 22(3), pages 569-601, July.
  41. Olivier Gu'eant & Jiang Pu & Guillaume Royer, 2013. "Accelerated Share Repurchase: pricing and execution strategy," Papers 1312.5617, arXiv.org, revised Sep 2014.
  42. Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
  43. Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.
  44. Olivier Gu'eant, 2013. "Permanent market impact can be nonlinear," Papers 1305.0413, arXiv.org, revised Mar 2014.
  45. Edirisinghe, Chanaka & Jeong, Jaehwan & Chen, Jingnan, 2021. "Optimal portfolio deleveraging under market impact and margin restrictions," European Journal of Operational Research, Elsevier, vol. 294(2), pages 746-759.
  46. Alexander Schied, 2012. "Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework," Papers 1204.2717, arXiv.org, revised May 2013.
  47. 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.
  48. Aurélien Alfonsi & Florian Klöck & Alexander Schied, 2016. "Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 914-934, August.
  49. Peter Kratz, 2014. "An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1198-1220, November.
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