Search Results - subject:"large investor"

Following behaviour and predatory trading

Yang, Shichao; Liu, Shancun; Zeng, Qingduo; Zhang, Zhigang - In: Applied economics letters 28 (2021) 13, pp. 1125-1129

Persistent link: https://www.econbiz.de/10012589975

Dynamic programming for stochastic target problems, Viscosity solutions and hedging in markets with Portfolio constraints and large investors

Serrano, Rafael - UNIVERSIDAD DEL ROSARIO - 2014

The purpose of this expository article is to present a self-contained overview of some results on the characterization of the optimal value function of a stochastic target problem as (discontinuous) viscosity solution of a certain dynamic programming PDE and its application to the problem of...

Persistent link: https://www.econbiz.de/10010945811

Portfolio optimization for a large investor under partial information and price impact

Eksi, Zehra; Ku, Hyejin - In: Mathematical methods of operations research 86 (2017) 3, pp. 601-623

Persistent link: https://www.econbiz.de/10011793402

Superreplication when trading at market indifference prices

Bank, Peter; Gökay, Selim - In: Finance and stochastics 20 (2016) 1, pp. 153-182

Persistent link: https://www.econbiz.de/10011460049

A model for a large investor trading at market indifference prices : I: single-period case

Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472

Persistent link: https://www.econbiz.de/10011418186

A model for a large investor trading at market indifference prices. I: Single-period case

Bank, Peter; Kramkov, Dmitry - In: Finance and Stochastics 19 (2015) 2, pp. 449-472

<Para ID="Par1">We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. We compute the sensitivities of these market indifference prices with respect to the size of the investor’s order. It turns out that the price impact of an order is...</para>

Persistent link: https://www.econbiz.de/10011241203

Pricing of margrabe options for large investors with application to asset-liability management in life insurance

Bølviken, Erik; Proske, Frank; Rubtsov, Mark - In: Journal of mathematical finance 4 (2014) 2, pp. 113-122

Persistent link: https://www.econbiz.de/10010380906

Optimal consumption and investment for a large investor : an intensity-based control framework

Busch, Michael; Korn, Ralf; Seifried, Frank Thomas - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 687-717

Persistent link: https://www.econbiz.de/10010187678

On a stochastic differential equation arising in a price impact model

Bank, Peter; Kramkov, Dmitry - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1160-1175

We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in the price impact model developed by Bank and Kramkov (2011) [1,2]. These conditions are stated as smoothness and boundedness requirements on utility functions or...

Persistent link: https://www.econbiz.de/10011065130

Hedging and portfolio optimization in illiquid financial markets

Bank, Peter; Baum, Dietmar - 2002

absence of arbitrage for the large investor, and using approximation results for stochastic integrals, we characterize the set …We introduce a general continuous-time model for an illiquid financial market where the trades of a single large … investor can move market prices. The model is specified in terms of parameter dependent semimartingales, and its mathematical …

Persistent link: https://www.econbiz.de/10010310531