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A model of optimal portfolio selection under liquidity risk and price impact

Citations

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Cited by:

  1. Robert Jarrow, 2018. "Asset market equilibrium with liquidity risk," Annals of Finance, Springer, vol. 14(2), pages 253-288, May.
  2. Yaowen Lu & Duy-Minh Dang, 2023. "A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate," Papers 2310.00606, arXiv.org.
  3. Stefano Baccarin & Daniele Marazzina, 2014. "Optimal impulse control of a portfolio with a fixed transaction cost," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 355-372, June.
  4. Bruder, Benjamin & Pham, Huyên, 2009. "Impulse control problem on finite horizon with execution delay," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1436-1469, May.
  5. Marie Bernhart & Huyên Pham & Peter Tankov & Xavier Warin, 2011. "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL.
  6. Luciano Campi & Davide Santis, 2020. "Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper," Journal of Optimization Theory and Applications, Springer, vol. 186(2), pages 688-724, August.
  7. Stefano Baccarin, 2019. "Static use of options in dynamic portfolio optimization under transaction costs and solvency constraints," Working papers 063, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  8. Nikolay A. Andreev, 2014. "On Linearity Of Transaction Costs In Order Driven Market," HSE Working papers WP BRP 38/FE/2014, National Research University Higher School of Economics.
  9. Nikolay Andreev, 2019. "Robust Portfolio Optimization in an Illiquid Market in Discrete-Time," Mathematics, MDPI, vol. 7(12), pages 1-16, November.
  10. M’hamed Gaïgi & Idris Kharroubi & Thomas Lim, 2020. "Optimal Exploitation of a General Renewable Natural Resource under State and Delay Constraints," Mathematics, MDPI, vol. 8(11), pages 1-25, November.
  11. Stefano Baccarin & Daniele Marazzina, 2013. "Portfolio Optimization over a Finite Horizon with Fixed and Proportional Transaction Costs and Liquidity Constraints," Working papers 017, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  12. Etienne Chevalier & Yadh Hafsi & Vathana Ly Vath, 2024. "Optimal Execution under Incomplete Information," Papers 2411.04616, arXiv.org.
  13. Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
  14. Takashi Kato, 2009. "An Optimal Execution Problem with Market Impact," Papers 0907.3282, arXiv.org, revised Dec 2014.
  15. Francesco Giuseppe Cordoni & Luca Di Persio & Yilun Jiang, 2020. "A Bank Salvage Model by Impulse Stochastic Controls," Risks, MDPI, vol. 8(2), pages 1-31, June.
  16. Claudia Kluppelberg & Miriam Isabel Seifert, 2016. "Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits," Papers 1612.07132, arXiv.org.
  17. Ulrich Horst & Felix Naujokat, 2008. "Illiquidity and Derivative Valuation," Papers 0901.0091, arXiv.org.
  18. Francesco Cordoni & Luca Di Persio & Yilun Jiang, 2019. "A bank salvage model by impulse stochastic controls," Papers 1910.03056, arXiv.org.
  19. Nikolay A. Andreev, 2015. "Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits," HSE Working papers WP BRP 45/FE/2015, National Research University Higher School of Economics.
  20. M. Alessandra Crisafi & Andrea Macrina, 2015. "Dark-Pool Perspective of Optimal Market Making," Papers 1502.02863, arXiv.org.
  21. Baccarin, Stefano, 2009. "Optimal impulse control for a multidimensional cash management system with generalized cost functions," European Journal of Operational Research, Elsevier, vol. 196(1), pages 198-206, July.
  22. Ren'e Aid & Lamia Ben Ajmia & M'hamed Gaigi & Mohamed Mnif, 2021. "Nonzero-sum stochastic impulse games with an application in competitive retail energy markets," Papers 2112.10213, arXiv.org.
  23. Alexandre Roch, 2011. "Liquidity risk, price impacts and the replication problem," Finance and Stochastics, Springer, vol. 15(3), pages 399-419, September.
  24. Mauricio Junca, 2011. "Stochastic impulse control on optimal execution with price impact and transaction cost," Papers 1103.3482, arXiv.org, revised Jan 2013.
  25. Tenorio Villal¢n, Angel F. & Martín Caraballo, Ana M. & Paralera Morales, Concepción & Contreras Rubio, Ignacio, 2013. "Ecuaciones diferenciales y en diferencias aplicadas a los conceptos económicos y financieros || Differential and Difference Equations Applied to Economic and Financial Concepts," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 16(1), pages 165-199, December.
  26. Seydel, Roland C., 2009. "Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3719-3748, October.
  27. Jarrow, Robert & Li, Siguang, 2021. "Endogenous liquidity risk and dealer market structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 449-453.
  28. Etienne Chevalier & Vathana Ly Vath & Simone Scotti & Alexandre Roch, 2016. "Optimal Execution Cost For Liquidation Through A Limit Order Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-26, February.
  29. Qi Deng & Zhong-guo Zhou, 2024. "Liquidity Jump, Liquidity Diffusion, and Portfolio of Assets with Extreme Liquidity," Papers 2407.00813, arXiv.org.
  30. Fabien Guilbaud & Mohamed Mnif & Huy^en Pham, 2010. "Numerical methods for an optimal order execution problem," Papers 1006.0768, arXiv.org.
  31. Takashi Kato, 2014. "An optimal execution problem with market impact," Finance and Stochastics, Springer, vol. 18(3), pages 695-732, July.
  32. Forsyth, P.A. & Kennedy, J.S. & Tse, S.T. & Windcliff, H., 2012. "Optimal trade execution: A mean quadratic variation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1971-1991.
  33. Stefano Baccarin, 2013. "Optimal Consumption of a Generalized Geometric Brownian Motion with Fixed and Variable Intervention Costs," Working papers 021, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  34. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
  35. Lin He & Zongxia Liang & Sheng Wang, 2022. "Modern Tontine with Transaction Costs," Papers 2209.09709, arXiv.org, revised Jun 2023.
  36. Nikolay A Andreev, 2017. "Boundedness of the Value Function of the Worst-Case Portfolio Selection Problem with Linear Constraints," HSE Working papers WP BRP 59/FE/2017, National Research University Higher School of Economics.
  37. Claudia Klüppelberg & Miriam Isabel Seifert, 2019. "Financial risk measures for a network of individual agents holding portfolios of light-tailed objects," Finance and Stochastics, Springer, vol. 23(4), pages 795-826, October.
  38. Pejman Peykani & Mojtaba Nouri & Mir Saman Pishvaee & Camelia Oprean-Stan & Emran Mohammadi, 2023. "Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree," Mathematics, MDPI, vol. 11(18), pages 1-23, September.
  39. Felix J. Lopez-Iturriaga & Domingo Javier Santana-Martin, 2015. "Do Shareholder Coalitions Modify Dominant Owner's Control? The Impact On Dividend Policy," HSE Working papers WP BRP 41/FE/2015, National Research University Higher School of Economics.
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