Search Results - subject:"Optimal portfolio liquidation"

Neuman, Eyal; Voß, Moritz - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 548-617

Persistent link: https://www.econbiz.de/10014329897

New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact

Xu, Fengmin; Li, Xuepeng; Dai, Yu-Hong; Meihua, Wang - In: International transactions in operational research : a … 30 (2023) 5, pp. 2640-2664

Persistent link: https://www.econbiz.de/10014261199

Optimal trading : the importance of being adaptive

Bellani, Claudio; Brigo, Damiano; Done, Alex; Neuman, Eyal - In: International journal of financial engineering 8 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012815097

Incorporating signals into optimal trading

Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311

Persistent link: https://www.econbiz.de/10012023738

Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

Bismuth, Alexis; Guéant, Olivier; Pu, Jiang - In: Mathematics and financial economics 13 (2019) 4, pp. 661-719

Persistent link: https://www.econbiz.de/10012055900

A state-constrained differential game arising in optimal portfolio liquidation

Schied, Alexander; Zhang, Tao - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 779-802

Persistent link: https://www.econbiz.de/10011764972

Multivariate transient price impact and matrix-valued positive definite functions

Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander - In: Mathematics of operations research 41 (2016) 3, pp. 914-934

Persistent link: https://www.econbiz.de/10011520739

Optimal portfolio liquidation in target zone models and catalytic superprocesses

Neuman, Eyal; Schied, Alexander - In: Finance and stochastics 20 (2016) 2, pp. 495-509

Persistent link: https://www.econbiz.de/10011471483

Optimal execution strategies in limit order books with general shape functions

Alfonsi, Aurelien; Fruth, Antje; Schied, Alexander - In: Quantitative Finance 10 (2010) 2, pp. 143-157

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed...

Persistent link: https://www.econbiz.de/10008609630