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Optimal Portfolio Liquidation with Execution Cost and Risk

SIAM J. Financial Math., no. 1 (2010): 897-931

Cited: 66|Views25
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Abstract

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in contrast with previous related papers (see, e.g., [L. C. G. Rogers and S. Singh, Math. Finance, 20 (201...More

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