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Optimizing portfolio liquidation under risk-based margin requirements

Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of finance and investment analysis 2 (2013) 1, pp. 121-153

This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement calculation is a self-contained inner optimization...

Persistent link: https://www.econbiz.de/10009746034

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …

Persistent link: https://www.econbiz.de/10012932264

On the Computation of LOT Liquidity Measure

Zhao, Wandi - 2016

We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature …

Persistent link: https://www.econbiz.de/10012990817

Optimale Prämienpolitiken für Versicherungsunternehmen

Fauser, Michael - 1998

Persistent link: https://www.econbiz.de/10001354546

The deterministic optimal liquidation problem

Brunovský, Pavol; Halická, Margaréta; Mitas, Mario - In: Control systems and mathematical methods in economics : …, (pp. 267-278). 2018

Persistent link: https://www.econbiz.de/10011975394

A large-scale optimization model for replicating portfolios in the life insurance industry

Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - In: Operations research 69 (2021) 4, pp. 1134-1157

Persistent link: https://www.econbiz.de/10012625163

Optimization problem of portfolios with an illiquid asset

Yamshchikov, Ivan P. - 2016

Persistent link: https://www.econbiz.de/10012388615

Optimal solution of the liquidation problem under execution and price impact risks

Mariani, Francesca; Fatone, Lorella - In: Quantitative finance 22 (2022) 6, pp. 1037-1049

Persistent link: https://www.econbiz.de/10013367883

Steuerung der Liquiditätsbevorratung in Banken anhand eines quantitativen Transferpreismodells

Schäffler, Christian - 2011 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013432990

Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity

Villeneuve, Stéphane; Warin, Xavier - In: Mathematics and financial economics 8 (2014) 2, pp. 193-227

Persistent link: https://www.econbiz.de/10010342479

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