منابع مشابه
Forced Liquidation of an Investment Portfolio
This problem, which I call the Scholes liquidation problem, is ubiquitous during unstable financial periods. Indeed, in the recent financial crisis, banks incurred large losses during the forced contraction of their balance sheets, as access to short-term financing through repo markets dried up (e.g., Adrian and Shin 2008; Brunnermeier 2009). A systemic deleveraging process propagated through t...
متن کاملOptimal Liquidation Strategies Regularize Portfolio Selection
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under Expected Shortfall (ES) in the case of linear market impact. We show that, once market impact is taken into account, a regularized version of the usual optimization problem naturally emerges. We cha...
متن کاملOptimal Portfolio Liquidation with Limit Orders
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or only on the liquidity-consuming orders like Obizhaeva and Wang in [31], we link the optimal trade-schedule to the price of the limit orders that have to be sent to the limit order book to optimally liquidate a portf...
متن کاملOptimal Portfolio Liquidation with Distress Risk
We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity needs, with a model that accounts for both permanent and temporary price impact of trading. We first show that a risk-neutral investor who myopically deleverages his position to meet an immediate need for cash always prefers to sell more liquid assets. If the investor faces the...
متن کاملConstrained Portfolio Liquidation in a Limit Order Book Model
We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book with resilience that was proposed by Obizhaeva and Wang (2006). We extend their model by allowing for a time-dependent resilience rate, arbitrary ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1689436