An Algorithmic Approach to Optimal Asset Liquidation Problems

Juri Hinz () and Jeremy Yee
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Juri Hinz: University of Technology Sydney
Jeremy Yee: University of Technology Sydney

Asia-Pacific Financial Markets, 2017, vol. 24, issue 2, No 2, 109-129

Abstract: Abstract This paper examines discrete-time optimal control problems arising in the context of optimal asset liquidation using recently published algorithms and code. We address these questions within a realistic framework, assuming that the order placement decisions must be adapted dynamically. Furthermore, we show how a duality-based technique can be used to assess the quality of our numerical solution.

Keywords: Order liquidation; Optimal control; Decision optimization (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10690-017-9226-1

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