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Optimal intertemporal liquidation of institutional investors with cash requirements and viable loans
Lee, Dongyeol; Kim, Woo Chang - In: The European journal of finance 30 (2024) 6, pp. 618-641
Persistent link: https://www.econbiz.de/10014547977
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Risk-based capital requirements and optimal liquidation in a stress scenario
Braouezec, Yann; Wagalath, Lakshithe - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 747-782
Persistent link: https://www.econbiz.de/10011991324
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Optimal liquidation under stochastic liquidity
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter - In: Finance and stochastics 22 (2018) 1, pp. 39-68
Persistent link: https://www.econbiz.de/10011945624
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Liquidation with self-exciting price impact
Cayé, Thomas; Muhle-Karbe, Johannes - In: Mathematics and financial economics 10 (2016) 1, pp. 15-28
Persistent link: https://www.econbiz.de/10011445992
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Liquidation with self-exciting price impact
Cayé, Thomas; Muhle-Karbe, Johannes - 2014
We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral...
Persistent link: https://www.econbiz.de/10011293738
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
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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
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Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions
Brunovský, Pavol; Černý, Aleš; Komadel, Ján - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1159-1171
Persistent link: https://www.econbiz.de/10011802354
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Risk-averse dynamic arbitrage in illiquid markets
Moazeni, Somayeh; Collado, Ricardo A.; Zhang, Andy - In: Journal of risk 20 (2017/2018) 4, pp. 55-74
Persistent link: https://www.econbiz.de/10011848929