Optimal Deleveraging and Liquidation of Financial Portfolios with Market Impact

Optimal Deleveraging and Liquidation of Financial Portfolios with Market Impact
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Release: 2014
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Optimal Deleveraging and Liquidation of Financial Portfolios with Market Impact
Language: en
Pages:
Authors:
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Type: BOOK - Published: 2014 - Publisher:

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Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact
Language: en
Pages: 19
Authors: Jingnan Chen
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Type: BOOK - Published: 2013 - Publisher:

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In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal executio
Optimal Liquidation
Language: en
Pages: 37
Authors: Robert Almgren
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Type: BOOK - Published: 1998 - Publisher:

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We consider the problem of portfolio liquidation with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and te
Sample Path Based Optimal Position Liquidation with CVaR Risk
Language: en
Pages: 56
Authors: Suiyi Su
Categories:
Type: BOOK - Published: 2012 - Publisher:

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The purpose of this research is to investigate devising the optimal position liquidation strategies in financial markets. During the transaction of large block
Optimal Portfolio Liquidation for CARA Investors
Language: en
Pages: 11
Authors: Alexander Schied
Categories:
Type: BOOK - Published: 2015 - Publisher:

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We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underly