Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
| Year of publication: |
2009
|
|---|---|
| Authors: | Schied, Alexander ; Schöneborn, Torsten |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 2, p. 181-204
|
| Publisher: |
Springer |
| Subject: | Optimal liquidation | Optimal trade execution | Aggressive in the money | Passive in the money | Liquidity risk | Market impact | Absolute risk aversion | Hamilton–Jacobi–Bellman equation | Nonlinear partial differential equation | Sensitivity analysis |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005613384