英文标题：
《Optimal execution with dynamic risk adjustment》
---
作者：
Xue Cheng, Marina Di Giacinto, and Tai-Ho Wang
---
最新提交年份：
2019
---
英文摘要：
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is formulated as a continuous time stochastic optimal control problem aiming at maximizing a generalized risk-adjusted profit and loss function. The expression of the risk adjustment is derived from the general theory of dynamic risk measures and is selected in the class of $g$-conditional risk measures. The resulting theoretical framework is nonclassical since the target function depends on backward components. We show that, under a quadratic specification of the driver of a backward stochastic differential equation, it is possible to find a closed form solution and an explicit expression of the optimal liquidation policies. In this way it is immediate to quantify the impact of risk-adjustment on the profit and loss and on the expression of the optimal liquidation policies.
---
中文摘要：
本文研究了金融市场中风险证券头寸的最优清算问题，其中价格演变是有风险的，交易对价格有影响，并且在填充指令中存在不确定性。该问题被描述为一个连续时间随机最优控制问题，目标是使广义风险调整损益函数最大化。风险调整的表达式源自动态风险度量的一般理论，并选择在$g$-条件风险度量类别中。由于目标函数依赖于后向分量，因此得到的理论框架是非经典的。我们证明，在倒向随机微分方程驱动的二次型规范下，可以找到最优清算策略的闭式解和显式表达式。通过这种方式，可以立即量化风险调整对损益和最优清算政策表达的影响。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->