We consider a multi-player situation in an illiquid market in which one player tries to liquidate a large portfolio in a short time span, while some competitors know of the seller's intention and try to make a profit by trading in this market over a longer time horizon. We show that the...

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...