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Optimal intertemporal liquidation of institutional investors with cash requirements and viable loans
Lee, Dongyeol; Kim, Woo Chang - In: The European journal of finance 30 (2024) 6, pp. 618-641
Persistent link: https://www.econbiz.de/10014547977
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Optimal liquidation in a limit order book for a risk-averse investor
Løkka, Arne - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 696-727
Persistent link: https://www.econbiz.de/10011308171
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Optimal derivative liquidation timing under path-dependent risk penalties
Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10010528389
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Risk-based capital requirements and optimal liquidation in a stress scenario
Braouezec, Yann; Wagalath, Lakshithe - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 747-782
Persistent link: https://www.econbiz.de/10011991324
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Optimal liquidation under stochastic liquidity
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter - In: Finance and stochastics 22 (2018) 1, pp. 39-68
Persistent link: https://www.econbiz.de/10011945624
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Portfolio liquidation in dark pools in continuous time
Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 496-544
Persistent link: https://www.econbiz.de/10011350581
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Liquidation with self-exciting price impact
Cayé, Thomas; Muhle-Karbe, Johannes - In: Mathematics and financial economics 10 (2016) 1, pp. 15-28
Persistent link: https://www.econbiz.de/10011445992
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Portfolio optimization in a defaultable Lévy-driven market model
Pagliarani, Stefano; Vargiolu, Tiziano - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 617-654
Persistent link: https://www.econbiz.de/10011296739
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146