Relevant bibliographies by topics / Optimal liquidation portfolio

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters
  4. Conference papers

Academic literature on the topic 'Optimal liquidation portfolio'

Author: Grafiati
Published: 25 May 2024
Last updated: 31 July 2025

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Journal articles on the topic "Optimal liquidation portfolio"

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Guéant, Olivier, Charles-Albert Lehalle, and Joaquin Fernandez-Tapia. "Optimal Portfolio Liquidation with Limit Orders." SIAM Journal on Financial Mathematics 3, no. 1 (2012): 740–64. http://dx.doi.org/10.1137/110850475.

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Caccioli, Fabio, Susanne Still, Matteo Marsili, and Imre Kondor. "Optimal liquidation strategies regularize portfolio selection." European Journal of Finance 19, no. 6 (2013): 554–71. http://dx.doi.org/10.1080/1351847x.2011.601661.

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Ankirchner, Stefan, Christophette Blanchet-Scalliet, and Anne Eyraud-Loisel. "Optimal portfolio liquidation with additional information." Mathematics and Financial Economics 10, no. 1 (2015): 1–14. http://dx.doi.org/10.1007/s11579-015-0147-3.

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Brown, David B., Bruce Ian Carlin, and Miguel Sousa Lobo. "Optimal Portfolio Liquidation with Distress Risk." Management Science 56, no. 11 (2010): 1997–2014. http://dx.doi.org/10.1287/mnsc.1100.1235.

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NYSTRÖM, KAJ, SIDI MOHAMED OULD ALY, and CHANGYONG ZHANG. "MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY." International Journal of Theoretical and Applied Finance 17, no. 05 (2014): 1450034. http://dx.doi.org/10.1142/s0219024914500344.

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Market making and optimal portfolio liquidation in the context of electronic limit order books are of considerably practical importance for high frequency (HF) market makers as well as more traditional brokerage firms supplying optimal execution services for clients. In general, the two problems are based on probabilistic models defined on certain reference probability spaces. However, due to uncertainty in model parameters or in periods of extreme market turmoil, ambiguity concerning the correct underlying probability measure may appear and an assessment of model risk, as well as the uncertai
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Kharroubi, Idris, and Huyên Pham. "Optimal Portfolio Liquidation with Execution Cost and Risk." SIAM Journal on Financial Mathematics 1, no. 1 (2010): 897–931. http://dx.doi.org/10.1137/09076372x.

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Guéant, Olivier, Jean-Michel Lasry, and Jiang Pu. "A Convex Duality Method for Optimal Liquidation with Participation Constraints." Market Microstructure and Liquidity 01, no. 01 (2015): 1550002. http://dx.doi.org/10.1142/s2382626615500021.

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In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this paper, we present a numerical method to approximate the optimal strategy of a trader willing to unwind a large portfolio. The method we propose is very general as it can be applied to multi-asset portfolios with any form of execution costs, including a bid-ask spread component, even when participation constraints are imposed. Our method, based on convex duality, only requires Hamiltonian functions to have C1,
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Schied, Alexander, and Tao Zhang. "A STATE-CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION." Mathematical Finance 27, no. 3 (2015): 779–802. http://dx.doi.org/10.1111/mafi.12108.

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Neuman, Eyal, and Alexander Schied. "Optimal portfolio liquidation in target zone models and catalytic superprocesses." Finance and Stochastics 20, no. 2 (2015): 495–509. http://dx.doi.org/10.1007/s00780-015-0280-0.

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Yao, Dingjun, Hailiang Yang, and Rongming Wang. "OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE." ASTIN Bulletin 46, no. 2 (2016): 365–99. http://dx.doi.org/10.1017/10.1017/asb.2015.28.

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AbstractThis study investigates a combined optimal financing, reinsurance and dividend distribution problem for a big insurance portfolio. A manager can control the surplus by buying proportional reinsurance, paying dividends and raising money dynamically. The transaction costs and liquidation values at bankruptcy are included in the risk model. Under the objective of maximising the insurance company's value, we identify the insurer's joint optimal strategies using stochastic control methods. The results reveal that managers should consider financing if and only if the terminal value and the t
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Dissertations / Theses on the topic "Optimal liquidation portfolio"

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Crawford, Daniel J. "Monotone optimal policies for quasivariational inequalities arising in optimal portfolio liquidation." Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/51421.

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This thesis studies the Hamilton-Jacobi-Ballman quasivariational inequality (HJBQVI), the corresponding optimal value function, and discrete schemes useful for approximating this value function. Moreover, the structural properties of the optimal policy of particular discrete scheme is studied. The motivation is to find a convergent, approximating scheme for the otherwise complicated HJBQVI that has monotone policy structure that can be exploited in a stochastic gradient estimation scheme to approximate optimal policy function parameters. In order to motivate this approach, we consider the prob
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Xia, Xiaonyu. "Singular BSDEs and PDEs Arising in Optimal Liquidation Problems." Doctoral thesis, Humboldt-Universität zu Berlin, 2020. http://dx.doi.org/10.18452/21040.

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Diese Dissertation analysiert BSDEs und PDEs mit singulären Endbedingungen, welche in Problemen der optimalen Portfolioliquidierung auftreten. In den vergangenen Jahren haben Portfolioliquidierungsprobleme in der Literatur zur Finanzmathematik große Aufmerksamkeit erhalten. Ihre wichtigste Eigenschaft ist die singuläre Endbedingung der durch die Liquidierungsbedingung induzierten Wertfunktion, welche eine singuläre Endbedingung der zugehörigen BSDE oder PDE impliziert. Diese Arbeit besteht aus drei Kapiteln. Das erste Kapitel analysiert ein Portfolioliquidierungsproblem für mehrere Wertpapi
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Lazgham, Mourad Verfasser], and Alexander [Akademischer Betreuer] [Schied. "A state-constrained stochastic optimal control problem arising in portfolio liquidation / Mourad Lazgham. Betreuer: Alexander Schied." Mannheim : Universitätsbibliothek Mannheim, 2015. http://d-nb.info/1078852286/34.

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Lazgham, Mourad [Verfasser], and Alexander [Akademischer Betreuer] Schied. "A state-constrained stochastic optimal control problem arising in portfolio liquidation / Mourad Lazgham. Betreuer: Alexander Schied." Mannheim : Universitätsbibliothek Mannheim, 2015. http://d-nb.info/1078852286/34.

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Nizard, David. "Programmation mathématique non convexe non linéaire en variables entières : un exemple d'application au problème de l'écoulement de larges blocs d'actifs." Electronic Thesis or Diss., université Paris-Saclay, 2023. http://www.theses.fr/2023UPASG015.

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La programmation mathématique fournit un cadre pour l'étude et la résolution des problèmes d'optimisation contraints ou non. Elle constitue une branche active des mathématiques appliquées, depuis la deuxième moitié du XXème siècle.L'objet de cette thèse est la résolution d'un programme mathématique non convexe non linéaire en variables entières, sous contrainte linéaire d'égalité. Le problème proposé, bien qu'abordé dans cette étude uniquement pour le cas déterministe, trouve son origine en finance, sous le nom d'écoulement de larges blocs d'actifs, ou de liquidation optimale de portefeuille.
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Shahin, Mahmoud. "Three essays on bank profitability, fragility, and lending." Thesis, University of Exeter, 2015. http://hdl.handle.net/10871/18675.

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We present three chapters on theoretical issues of banking. These deal with bank runs, risk sharing, lending and profitability. In the first chapter, we examine the agency problem in the bank-depositor relationship. Depositors are the principals and banks are the agents. Banks choose investment portfolios and are subject to moral hazard in that they have incentive to take on more risk than desirable to depositors because they are residual claimants. We study an incentive-compatible mechanism that prompts banks to follow a safe investment policy. This mechanism leaves the bank a profit margin i
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Book chapters on the topic "Optimal liquidation portfolio"

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Caccioli, Fabio, Susanne Still, Matteo Marsili, and Imre Kondor. "Optimal liquidation strategies regularize portfolio selection." In New Facets of Economic Complexity in Modern Financial Markets. Routledge, 2020. http://dx.doi.org/10.4324/9780429198557-11.

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Al Janabi, Mazin A. M. "Evaluation of Optimum and Coherent Economic-Capital Portfolios Under Complex Market Prospects." In Handbook of Research on Big Data Clustering and Machine Learning. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0106-1.ch011.

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This chapter examines the performance of liquidity-adjusted risk modeling in obtaining optimum and coherent economic-capital structures, subject to meaningful operational and financial constraints as specified by the portfolio manager. Specifically, the chapter proposes a robust approach to optimum economic-capital allocation in a liquidity-adjusted value at risk (L-VaR) framework. This chapter expands previous approaches by explicitly modeling the liquidation of trading portfolios, over the holding period, with the aid of an appropriate scaling of the multiple-assets' L-VaR matrix along with
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Conference papers on the topic "Optimal liquidation portfolio"

1

Crawford, Daniel, and Vikram Krishnamurthy. "Monotone optimal policies in portfolio liquidation problems." In ICASSP 2015 - 2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP). IEEE, 2015. http://dx.doi.org/10.1109/icassp.2015.7178626.

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