This paper focuses on an extension of the limit order book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied ((2010). Optimal execution strategies in limit order books with general shape functions. <italic>Quantitative Finance</italic>, <italic>10</italic>(2), 143-157). Here, the additional feature allows a...

Assuming geometric Brownian motion as unaffected price process <inline-formula> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="ramf_a_683963_o_ilm0001.gif"/> </inline-formula>, Gatheral and Schied (2011; Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework, <italic>International Journal of Theoretical and Applied Finance,</italic> 14, pp. 353--368) derived a strategy for optimal order...

We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...