Optimal Portfolio Liquidation for CARA Investors
نویسندگان
چکیده
منابع مشابه
Optimal basket liquidation with finite time horizon for CARA investors
We consider the finite-time optimal basket liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying continuous-time liquidity model, we use a multi-asset extension of the nonlinear price impact model of Almgren (2003). We show that the expected utility of sales revenues, taken over a large class of adapted strategies, is maximized by ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1018088