Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Alexander Schied () and Torsten Schöneborn

Finance and Stochastics, 2009, vol. 13, issue 2, 204 pages

Keywords: Optimal liquidation; Optimal trade execution; Aggressive in the money; Passive in the money; Liquidity risk; Market impact; Absolute risk aversion; Hamilton–Jacobi–Bellman equation; Nonlinear partial differential equation; Sensitivity analysis; 91B28; 93E20; 60G35; G11; G33 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (86)

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DOI: 10.1007/s00780-008-0082-8

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