Draviam, Thangaraj; Coleman, Thomas; Li, Yuying - In: Quantitative Finance 11 (2011) 1, pp. 69-80
The optimal liquidation problem with transaction costs, which includes a positive fixed cost, and market impact costs, is studied in this paper as a constrained stochastic optimal control problem. We assume that trading is instantaneous and the dynamics of the stock to be liquidated follows a...