Optimal basket liquidation for CARA investors is deterministic

Applied Mathematical Finance

Volumn 17, Issue 6, 2010, Pages 471-489

  SCHIED, ALEXANDER ^a   SCHÖNEBORN, TORSTEN ^b   TEHRANCHI, MICHAEL ^c  

^a UNIVERSITY OF MANNHEIM   (Germany)

^b Man Investment Products Ltd   (United Kingdom)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Algorithmic trading; Finite fuel control; Hamilton jacobi bellman equation; Illiquid markets; Market impact modelling; Optimal liquidation; Optimal trade execution; Utility maximization

Indexed keywords

EID: 77958601368     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860903565050     Document Type: Article

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