PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
نویسندگان
چکیده
منابع مشابه
Portfolio liquidation in dark pools in continuous time∗
We consider an illiquid financial market where a risk-averse investor has to liquidate a large portfolio within a finite time horizon [0, T ] and can trade continuously at a traditional exchange (the “primary venue”) and in a dark pool. At the primary venue, trading yields a linear price impact. In the dark pool, no price impact costs arise but order execution is uncertain, modeled by a multi-d...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2013
ISSN: 0960-1627
DOI: 10.1111/mafi.12037