Guéant, Olivier; Lehalle, Charles-Albert; Tapia, … - Université Paris-Dauphine (Paris IX) - 2011
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [ 2 ], or only on the liquidity-consuming orders like Obizhaeva and Wang in [ 31 ], we link the optimal trade-schedule to...