Caccioli, Fabio; Still, Susanne; Marsili, Matteo; … - In: The European Journal of Finance 19 (2013) 6, pp. 554-571
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under expected shortfall (ES) in the case of linear market impact. We show that, once market impact is...