We introduce a market impact model for stochastic linear transient impact, extending the model of Gatheral (2010) with the possibility of randomly fluctuating liquidity. We discuss regularity conditions for market impact models, i.e. properties of optimal liquidation strategies in these models....

Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. Their result shows that these preferences can be numerically represented in...