In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and...

We extract from the yield curve a new measure of fundamental economic uncertainty, based on McDiarmid's distance and related methods for optimal uncertainty quantification (OUQ). OUQ seeks analytical bounds on a system's behavior, even where the underlying data-generating process and system...

We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute returns. We consider a quasi-elastic market with continuous trading where temporary liquidity costs are sufficiently large relative to permanent impact. We show analytically that...