This paper solves the infinite-horizon optimal liquidation problem in a market with float-dependent, nonlinear temporary price impact. The investor's value function and optimal strategy are identified as the unique classical solutions of nonlinear parabolic partial differential equations. Depending on the price impact parameters, liquidation may require finite or infinite time.
Guasoni P, Sanjari A (2019). Liquidation with Nonlinear Float-Dependent Price Impact. HIGH FREQUENCY, 2, 85-94 [10.1002/hf2.10027].
Liquidation with Nonlinear Float-Dependent Price Impact
Guasoni P
Co-primo
;
2019
Abstract
This paper solves the infinite-horizon optimal liquidation problem in a market with float-dependent, nonlinear temporary price impact. The investor's value function and optimal strategy are identified as the unique classical solutions of nonlinear parabolic partial differential equations. Depending on the price impact parameters, liquidation may require finite or infinite time.File in questo prodotto:
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