Optimal liquidation strategies regularize portfolio selection
نویسندگان
چکیده
منابع مشابه
Optimal 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...
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ژورنال
عنوان ژورنال: The European Journal of Finance
سال: 2013
ISSN: 1351-847X,1466-4364
DOI: 10.1080/1351847x.2011.601661