Similar Search Results

Optimal investment on finite horizon with random discrete order flow in illiquid markets

Gassiat, Paul; Pham, Huyên; Sı̂rbu, Mihai - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 17-40

Persistent link: https://www.econbiz.de/10008908395

Liquidity risk, price impacts and the replication problem

Roch, Alexandre F. - In: Finance and stochastics 15 (2011) 3, pp. 399-419

Persistent link: https://www.econbiz.de/10009303238

Liquidity Risk, Price Impacts and the Replication Problem

Roch, Alexandre F. - 2011

We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that … the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a … stochastic volatility model in which the volatility is partly correlated with the liquidity process and show that, with the use …

Persistent link: https://www.econbiz.de/10013120734

Hedging and portfolio optimization in financial markets with a large trader

Bank, Peter; Baum, Dietmar - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10001917650

Hedging and portfolio optimization in illiquid financial markets

Bank, Peter; Baum, Dietmar - 2002

Persistent link: https://www.econbiz.de/10001685047

Optimal VWAP trading strategy and relative volume

McCulloch, James; Kazakov, Vladimir - 2007

Persistent link: https://www.econbiz.de/10003685190

Liquidity risk and optimal dividend/investment strategies

Chevalier, Etienne; Gaïgi, M’hamed; Ly Vath, Vathana - In: Mathematics and financial economics 11 (2017) 1, pp. 111-135

Persistent link: https://www.econbiz.de/10011900519

Utility maximization in an illiquid market

Soner, Halil Mete; Vukelja, Mirjana - 2013

We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid market. A discrete time model is constructed with few additional state variables. The dynamic programming approach is then developed and used for numerical studies. No-arbitrage...

Persistent link: https://www.econbiz.de/10009750653

Optimal execution of multiasset block orders under stochastic liquidity

Makimoto, Naoki; Sugihara, Yoshihiko - 2010

Persistent link: https://www.econbiz.de/10008748180

Portfolio Choice with Illiquid Assets

Ang, Andrew - 2013

market liquidity to vary from `normal' periods, when all assets are fully liquid, to 'illiquidity crises,' when some assets … can only be traded infrequently. The possibility of a liquidity crisis leads to limited arbitrage in normal times …

Persistent link: https://www.econbiz.de/10012459224