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  • Search: subject:"Optimal Liquidation"
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Year of publication
Subject
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Theorie 25 Theory 24 Liquidity 20 Optimal liquidation 18 Portfolio selection 18 Portfolio-Management 18 Liquidität 16 optimal liquidation 16 Stochastic process 11 Stochastischer Prozess 11 Wertpapierhandel 11 Securities trading 10 Börsenkurs 9 Market microstructure 9 Marktliquidität 9 Market liquidity 8 Marktmikrostruktur 8 Mathematical programming 8 Mathematische Optimierung 8 Share price 8 illiquid markets 6 Risikoaversion 5 Risk aversion 5 algorithmic trading 5 Bid-ask spread 4 Control theory 4 Financial market 4 Finanzmarkt 4 Geld-Brief-Spanne 4 Kontrolltheorie 4 Market impact 4 price impact 4 Adverse selection 3 Anlageverhalten 3 Behavioural finance 3 Electronic trading 3 Elektronisches Handelssystem 3 Hamilton-Jacobi-Bellman equation 3 Handelsvolumen der Börse 3 Manipulation 3
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Online availability
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Undetermined 22 Free 11 CC license 2
Type of publication
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Article 33 Book / Working Paper 7 Other 1
Type of publication (narrower categories)
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Article in journal 28 Aufsatz in Zeitschrift 28 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Arbeitspapier 1 Hochschulschrift 1
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Language
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English 33 Undetermined 8
Author
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Schied, Alexander 6 Schöneborn, Torsten 5 Kratz, Peter 4 Cayé, Thomas 2 Guéant, Olivier 2 Horst, Ulrich 2 Lehalle, Charles-Albert 2 Leung, Tim 2 Løkka, Arne 2 Muhle-Karbe, Johannes 2 Schoeneborn, Torsten 2 Ankirchner, Stefan 1 Baldacci, Bastien 1 Battauz, Anna 1 Becherer, Dirk 1 Benveniste, Jerome 1 Bilarev, Todor 1 Blanchet-Scalliet, Christophette 1 Braouezec, Yann 1 Brown, David 1 Brown, David B. 1 Brunovský, Pavol 1 Cardaliaguet, Pierre 1 Carlin, Bruce Ian 1 Cheng, Yilin 1 Ching, Wai Ki 1 Contreras, Ana Roldan 1 Cooper, Russell W. 1 Dolinsky, Yan 1 Dolinskyi, Leonid 1 Eyraud-Loisel, Anne 1 Forde, Martin 1 Frentrup, Peter 1 Graewe, Paulwin 1 Gu, Jia-wen 1 Gökhan Cebiro˜glu 1 Kempf, Hubert 1 Kim, Woo Chang 1 Klöck, Florian 1 Komadel, Ján 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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MPRA Paper 3 Mathematical finance : an international journal of mathematics, statistics and financial theory 3 Mathematics and financial economics 3 European journal of operational research : EJOR 2 Finance research letters 2 International journal of theoretical and applied finance 2 Journal of mathematical finance 2 Applied Mathematical Finance 1 Applied mathematical finance 1 Computational management science 1 Decisions in economics and finance : a journal of applied mathematics 1 Economic theory : official journal of the Society for the Advancement of Economic Theory 1 Finance and Stochastics 1 Finance and stochastics 1 Financial Markets and Portfolio Management 1 Financial innovation : FIN 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Journal of financial engineering 1 Management Science 1 Market microstructure and liquidity 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematics of operations research 1 Quantitative finance 1 Research paper series / Swiss Finance Institute 1 Review of finance : journal of the European Finance Association 1 Risks : open access journal 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Swiss Finance Institute Research Paper 1 The European journal of finance 1
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Source
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ECONIS (ZBW) 30 RePEc 9 BASE 1 EconStor 1
Showing 11 - 20 of 41
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Optimal liquidation trajectories for the Almgren-Chriss model
Løkka, Arne; Xu, Junwei - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10012496903
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A note on Almgren-Chriss optimal execution problem with geometric Brownian motion
Baldacci, Bastien; Benveniste, Jerome - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-22
Persistent link: https://www.econbiz.de/10012820065
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Risk-based capital requirements and optimal liquidation in a stress scenario
Braouezec, Yann; Wagalath, Lakshithe - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 747-782
Persistent link: https://www.econbiz.de/10011991324
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Optimal liquidation and adverse selection in dark pools
Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 177-210
Persistent link: https://www.econbiz.de/10011969158
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Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions
Brunovský, Pavol; Černý, Aleš; Komadel, Ján - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1159-1171
Persistent link: https://www.econbiz.de/10011802354
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Optimal liquidation under stochastic liquidity
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter - In: Finance and stochastics 22 (2018) 1, pp. 39-68
Persistent link: https://www.econbiz.de/10011945624
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Mean field game of controls and an application to trade crowding
Cardaliaguet, Pierre; Lehalle, Charles-Albert - In: Mathematics and financial economics 12 (2018) 3, pp. 335-363
Persistent link: https://www.econbiz.de/10011963860
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Price manipulation in a market impact model with dark pool
Klöck, Florian; Schied, Alexander; Sun, Yuemeng - In: Applied mathematical finance 24 (2017) 5/6, pp. 417-450
Persistent link: https://www.econbiz.de/10011815281
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Optimal liquidation in dark pools
Kratz, Peter; Schöneborn, Torsten - 2011
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...
Persistent link: https://www.econbiz.de/10010281565
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Optimal liquidation in dark pools
Gökhan Cebiro˜glu; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...
Persistent link: https://www.econbiz.de/10009278167
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