Optimal Basket Liquidation for CARA Investors is Deterministic

139 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework (2011, unknown): “See also [12] for similar e↵ects in exponentialutility maximization for order execution.”
Optimal trade execution: A mean quadratic variation approach (2012, methodology): “Another example can343 be found in Schied et al. (2010).344 9 Numerical Method: GBM Case (6.1)345 We give a brief outline of the numerical method used to solve equation (6.1).”
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (2013, unknown): “rices that eventually depart from those in the Black-Scholes model. We model execution costs (liquidity costs) diﬀerently because our framework is inspired by the literature on optimal execution (see [1, 16, 28]). The second route has to do with the impact of ∆-hedging on the dynamics of the underly”
Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework (2012, unknown): “This equation usually cannot be solved in explicit form unless U(x) = −e−λx and assumption (5) holds, in which case we recover (6) as optimal strategy; see Schied et al. (2010).”
TRADING WITH SMALL PRICE IMPACT (2014, unknown): “1) is truly universal, in that it applies both for (6)This correspondence remains true with several risky assets, where optimal liquidation has been studied by [50, 51].”