英文标题：
《Optimal Liquidation Problems in a Randomly-Terminated Horizon》
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作者：
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu, Tak Kwong Wong
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最新提交年份：
2017
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英文摘要：
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. Three different scenarios are analyzed under Almgren-Chriss\'s market impact model to explore the relation between optimal liquidation strategies and potential inventory risk arising from the uncertainty of the liquidation horizon. For cases where no closed-form solutions can be obtained, we verify comparison principles for viscosity solutions and characterize the value function as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman (HJB) equation.
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中文摘要：
本文研究了随机终止区间上的最优清算问题。我们考虑对大型单一资产组合进行清算，目的是最大限度地减少波动性风险和因永久和临时市场影响而产生的交易成本。根据Almgren Chriss的市场影响模型，分析了三种不同的情况，以探讨最优清算策略与清算期不确定性引起的潜在库存风险之间的关系。对于无法获得闭式解的情况，我们验证了粘性解的比较原则，并将值函数描述为关联Hamilton-Jacobi-Bellman（HJB）方程的唯一粘性解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics 数学
二级分类：Analysis of PDEs 偏微分方程分析
分类描述：Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE\'s, conservation laws, qualitative dynamics
存在唯一性，边界条件，线性和非线性算子，稳定性，孤子理论，可积偏微分方程，守恒律，定性动力学
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