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Trading Against Disorderly Liquidation of a Large Position Under Asymmetric Information and Market Impact
Hillairet, Caroline - 2016
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective...
Persistent link: https://www.econbiz.de/10012981705
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Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134
Persistent link: https://www.econbiz.de/10011417122
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Affine long term yield curves : an application of the Ramsey rule with progressive utility
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Journal of financial engineering 1 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010508124
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Portfolio optimization with different information flow
Hillairet, Caroline; Jiao, Ying - 2017
Persistent link: https://www.econbiz.de/10011607049
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Trading against disorderly liquidation of a large position under asymmetric information and market impact
Hillairet, Caroline; Hyndman, Cody; Jiao, Ying; Wang, Renjie - 2017
Persistent link: https://www.econbiz.de/10012200243
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Ramsey rule with forward/backward utility for long-term yield curves modeling
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 375-414
Persistent link: https://www.econbiz.de/10013380575