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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

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

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

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

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

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

Liquidation with self-exciting price impact

Cayé, Thomas; Muhle-Karbe, Johannes - 2014

We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral...

Persistent link: https://www.econbiz.de/10011293738

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

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

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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