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Pension liquidity risk

Jansen, Kristy A. E.; Klingler, Sven; Ranaldo, Angelo; … - 2024

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Risk premia and optimal liquidation of credit derivatives

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Optimal liquidation and adverse selection in dark pools

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Optimal liquidation using extended trading close for multiple trading days

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The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market participants. ETCs exist in the Nasdaq, the SSE STAR, the SZSE ChiNext and the TWSE. To help...

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Optimal investment and risk control for an insurer under inside information

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Shortfall risk through Fenchel duality

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Execution and block trade pricing with optimal constant rate of participation

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Portfolio selection by minimizing the present value of capital injection costs

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Portfolio selections for insurers with ambiguity aversion : minimizing the probability of ruin

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