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Optimal Portfolio Liquidation for CARA Investors
Schied, Alexander; Schöneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2007
We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...
Persistent link: https://www.econbiz.de/10005835745
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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Schied, Alexander; Schoeneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2008
We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions of nonlinear parabolic...
Persistent link: https://www.econbiz.de/10005623263
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Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience
Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2011
market fragmentation and internalization. Market fragmentation is found to improve global and local liquidity, with spreads … other factors than market fragmentation. The only harmful effect is that fragmentation may reduce market depth for small …
Persistent link: https://www.econbiz.de/10010707360
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The Impact of Crossing on Market Quality : an Empirical Study on the UK Market
Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2001
Persistent link: https://www.econbiz.de/10010708073
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The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads
Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2006
spreads are negatively related to CN executions. Risk-sharing benefits from CN trading dominate fragmentation and cream …
Persistent link: https://www.econbiz.de/10011093892
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Effects of Lit and Dark Trading Venue Competition on Liquidity : The MiFID Experience
Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2013
-quote depth relate to market fragmentation and internalization after MiFID. Market fragmentation is found to improve global and … post-MiFID period is driven by other factors than market fragmentation. The only harmful effect is that fragmentation may …
Persistent link: https://www.econbiz.de/10011162105
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Agricultural Trade Policy
Sumner, Daniel A. - American Enterprise Institute
This study reviews the contents and implications of major trade agreements, as well as the consequences of failing to secure agricultural trade policy reform.
Persistent link: https://www.econbiz.de/10011273245
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Institutionalizing Northeast Asia: Challenges and Opportunities
Timmermann, Martina - Volkswirtschaftliche Fakultät, … - 2008
-territorial policy responses to such issues as trade, finance, the environment, human rights and human security. The copyright of this … Governance, Tokyo: UNUP 2008, rests with United Nations University Press; for further information on the book and its 19 chapters … on political economy, security, norms and identity, environment, human rights, migration and human security in Northeast …
Persistent link: https://www.econbiz.de/10005836788
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Liberalizing Global Trade in Energy Services
Evans, Peter C. - American Enterprise Institute
This studyexamines current efforts to deepen trade commitments regarding energy services.
Persistent link: https://www.econbiz.de/10011273222
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Intellectual Property Rights in Emerging Markets
Long, Clarisa - American Enterprise Institute
This book considers the three geographical regions that present the greatest intellectual property rights problems to U.S. industries--China, Latin America, and India.
Persistent link: https://www.econbiz.de/10011265312