Assuming a particular price process, it was shown by Gatheral that a model that combines nonlinear price impact with exponential decay of market impact admits price manipulation, an undesirable feature that should lead to rejection of the model. Subsequently, Alfonsi and Schied proved that their...

In this review article, we present recent work on the regularity of dynamical market impact models and their associated optimal order execution strategies. In particular, we address the question of the stability and existence of optimal strategies, showing that in a large class of models, there...

We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of Huberman and Stanzl (2004) can easily be characterized by means of Bochner's theorem. This...

SFB 649 Discussion Paper 2005-051 Optimal Investments for Risk- and Ambiguity- Averse Preferences: A Duality Approach Alexander Schied* * Technische Universität Berlin, Germany This research was supported by the Deutsche Forschungsgemeinschaft through the...