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A State-Constrained Differential Game Arising In Optimal Portfolio Liquidation

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  • Alexander Schied
  • Tao Zhang

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  • Alexander Schied & Tao Zhang, 2017. "A State-Constrained Differential Game Arising In Optimal Portfolio Liquidation," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 779-802, July.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:3:p:779-802
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-3
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    Cited by:

    1. Xiangge Luo & Alexander Schied, 2018. "Nash equilibrium for risk-averse investors in a market impact game with transient price impact," Papers 1807.03813, arXiv.org, revised Jun 2019.
    2. Samuel Drapeau & Peng Luo & Alexander Schied & Dewen Xiong, 2019. "An FBSDE approach to market impact games with stochastic parameters," Papers 2001.00622, arXiv.org.
    3. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
    4. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CARF F-Series CARF-F-521, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    5. Masaaki Fujii & Akihiko Takahashi, 2021. "A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition," CIRJE F-Series CIRJE-F-1177, CIRJE, Faculty of Economics, University of Tokyo.
    6. Francesco Cordoni & Fabrizio Lillo, 2020. "Instabilities in Multi-Asset and Multi-Agent Market Impact Games," Papers 2004.03546, arXiv.org, revised Nov 2021.
    7. Fabrizio Lillo & Andrea Macr`i, 2024. "Deviations from the Nash equilibrium and emergence of tacit collusion in a two-player optimal execution game with reinforcement learning," Papers 2408.11773, arXiv.org.
    8. Moritz Vo{ss}, 2019. "A two-player portfolio tracking game," Papers 1911.05122, arXiv.org, revised Jul 2022.
    9. Alexander Schied & Tao Zhang, 2019. "A Market Impact Game Under Transient Price Impact," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 102-121, February.
    10. Moritz Voß, 2022. "A two-player portfolio tracking game," Mathematics and Financial Economics, Springer, volume 16, number 6, March.

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