Search Results - subject:"Optimal Liquidation"

Deposit insurance and bank liquidation without commitment : can we sleep well?

Cooper, Russell W.; Kempf, Hubert - In: Economic theory : official journal of the Society for … 61 (2016) 2, pp. 365-392

Persistent link: https://www.econbiz.de/10011479927

Optimal portfolio liquidation with additional information

Ankirchner, Stefan; Blanchet-Scalliet, Christophette; … - In: Mathematics and financial economics 10 (2016) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011445989

Liquidation with self-exciting price impact

Cayé, Thomas; Muhle-Karbe, Johannes - In: Mathematics and financial economics 10 (2016) 1, pp. 15-28

Persistent link: https://www.econbiz.de/10011445992

Optimal Portfolio Liquidation with Distress Risk

Brown, David - 2010

distress. More generally, optimal liquidation involves selling strictly more of the assets with a lower ratio of permanent to …

Persistent link: https://www.econbiz.de/10009475400

Entrepreneurship dynamics under time inconsistent preferences

Liu, Yang; Yang, Jinqiang - In: Journal of mathematical finance 5 (2015) 1, pp. 40-48

Persistent link: https://www.econbiz.de/10011398602

Optimal derivative liquidation timing under path-dependent risk penalties

Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10010528389

Portfolio liquidation in dark pools in continuous time

Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 496-544

Persistent link: https://www.econbiz.de/10011350581

General intensity shapes in optimal liquidation

Guéant, Olivier; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 457-495

Persistent link: https://www.econbiz.de/10011350585

Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Schied, Alexander; Schoeneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2008

We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions of nonlinear parabolic...

Persistent link: https://www.econbiz.de/10005623263

An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection

Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220

Persistent link: https://www.econbiz.de/10010462146