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We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...
Persistent link: https://www.econbiz.de/10012500352
Persistent link: https://www.econbiz.de/10014312552
Persistent link: https://www.econbiz.de/10014564352