Assuming geometric Brownian motion as unaffected price process <inline-formula> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="ramf_a_683963_o_ilm0001.gif"/> </inline-formula>, Gatheral and Schied (2011; Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework, <italic>International Journal of Theoretical and Applied Finance,</italic> 14, pp. 353--368) derived a strategy for optimal order...

When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel’s classical notion of qualitative robustness is not suitable for risk measurement, and we propose and analyze a refined notion of robustness...

We give a complete solution to the problem of minimizing the expected liquidity costs in the presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is...

We give an explicit PDE characterization for the solution of the problem of maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a risky asset, whose volatility and long-term trend are driven by an external...