Narrow search
Showing 1 - 10 of 10,745
Cover Image
Optimal Liquidation with Signals : the General Propagator Case
Abi Jaber, Eduardo; Neuman, Eyal - 2022
We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price impact. We formulate these problems as minimization of a revenue-risk functionals, where the agent also exploits...
Persistent link: https://www.econbiz.de/10014237339
Cover Image
Portfolio Liquidation and Ambiguity Aversion
Cartea, Álvaro - 2017
We consider an optimal execution problem where an agent holds a position in an asset which must be liquidated (using limit orders) before a terminal horizon. Beginning with a standard model for the trading dynamics, we analyse how the acknowledgement of model misspecification affects the agent's...
Persistent link: https://www.econbiz.de/10012959444
Cover Image
Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …
Persistent link: https://www.econbiz.de/10013403261
Cover Image
Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … & Portfolio Managers JP Morgan Portfolio Liquidity Assessment Framework & ModelsPortfolio Assets Modeled: 17 Asset Classes: Hedge … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the …
Persistent link: https://www.econbiz.de/10013405318
Cover Image
Better Bond Indices and Liquidity Gaming the Rest
Robertson, Adriana - 2017
prices and take advantage of it. Our final tests show that they alter the liquidity of their holdings when doing so may help …
Persistent link: https://www.econbiz.de/10012944845
Cover Image
Liquidity in the Cross Section of OTC Assets
Uslu, Semih - 2020
. Tractability of the model allows us to derive natural proxies for important measures of market liquidity such as trade volume … alleviation of search frictions in one market may lead to opposite observations regarding liquidity in other markets depending on … which liquidity measure is used. For example, a reduction of search frictions in one market decreases trade volume in other …
Persistent link: https://www.econbiz.de/10012830867
Cover Image
The emergence of money : a dynamic analysis
Iacopetta, Maurizio - In: Macroeconomic dynamics 23 (2019) 7, pp. 2573-2596
Persistent link: https://www.econbiz.de/10012127374
Cover Image
Dynamic leveraging-deleveraging games
Minca, Andreea; Wissel, Johannes Stefan - In: Operations research 68 (2020) 1, pp. 93-114
Persistent link: https://www.econbiz.de/10012172291
Cover Image
Strategic liquidity provision in limit order markets
Back, Kerry E.; Baruch, Shmuel - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 1, pp. 363-392
Persistent link: https://www.econbiz.de/10009719090
Cover Image
A two-player portfolio tracking game
Voß, Moritz - In: Mathematics and financial economics 16 (2022) 4, pp. 779-809
Persistent link: https://www.econbiz.de/10013438883