Add to ORKGWe study the optimal liquidation strategy for a call spread in the case when an investor, who does not hedge, believes in a volatility that differs from the implied volatility. The liquidation problem is formulated as an optimal stopping problem, which we solve explicitly. We also provide a sensitivity analysis with respect to the model parameters
This Master's thesis addresses how to optimise market moving portfolio liquidation through a theoret...
In a limit order book model with exponential resilience, general shape function, and an unaffected s...
An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The mana...
We study the optimal liquidation strategy for a call spread in the case when an investor, who does n...
We consider the problem facing a risk averse agent who seeks to liquidate or exercise a portfolio of...
We consider the problem facing a risk averse agent who seeks to liquidate or exercise a portfolio of...
We consider an investor that trades continuously and wants to liquidate an initial asset position wi...
Liquidity risks arise from the presence of time lags on execution of market orders in trading securi...
We consider the problem of portfolio optimization in the presence of market impact, and derive optim...
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatili...
We model the optimal liquidation behavior of a venture capital or non-diversified asset management f...
We study the problem of an optimal exit strategy for an investment project which is unprofitable and...
International audienceWe study the optimal liquidation problem using limit orders. If the seminal li...
In this paper, we study the economic relevance of optimal liquidation strategies by calibrating a re...
In this paper we study optimal liquidation under two settings: the first being for a basket of corre...
This Master's thesis addresses how to optimise market moving portfolio liquidation through a theoret...
In a limit order book model with exponential resilience, general shape function, and an unaffected s...
An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The mana...
We study the optimal liquidation strategy for a call spread in the case when an investor, who does n...
We consider the problem facing a risk averse agent who seeks to liquidate or exercise a portfolio of...
We consider the problem facing a risk averse agent who seeks to liquidate or exercise a portfolio of...
We consider an investor that trades continuously and wants to liquidate an initial asset position wi...
Liquidity risks arise from the presence of time lags on execution of market orders in trading securi...
We consider the problem of portfolio optimization in the presence of market impact, and derive optim...
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatili...
We model the optimal liquidation behavior of a venture capital or non-diversified asset management f...
We study the problem of an optimal exit strategy for an investment project which is unprofitable and...
International audienceWe study the optimal liquidation problem using limit orders. If the seminal li...
In this paper, we study the economic relevance of optimal liquidation strategies by calibrating a re...
In this paper we study optimal liquidation under two settings: the first being for a basket of corre...
This Master's thesis addresses how to optimise market moving portfolio liquidation through a theoret...
In a limit order book model with exponential resilience, general shape function, and an unaffected s...
An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The mana...