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雷达卡
英文标题：
《Smooth solutions to portfolio liquidation problems under price-sensitive
market impact》
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作者：
Paulwin Graewe, Ulrich Horst, Eric S\\\'er\\\'e
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最新提交年份：
2017
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英文摘要：
We consider the stochastic control problem of a financial trader that needs to unwind a large asset portfolio within a short period of time. The trader can simultaneously submit active orders to a primary market and passive orders to a dark pool. Our framework is flexible enough to allow for price-dependent impact functions describing the trading costs in the primary market and price-dependent adverse selection costs associated with dark pool trading. We prove that the value function can be characterized in terms of the unique smooth solution to a PDE with singular terminal value, establish its explicit asymptotic behavior at the terminal time, and give the optimal trading strategy in feedback form.
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中文摘要：
我们考虑一个金融交易者的随机控制问题，该交易者需要在短时间内解除一个大型资产组合。交易员可以同时向一级市场提交主动订单，向暗池提交被动订单。我们的框架足够灵活，允许使用价格相关的影响函数来描述一级市场的交易成本，以及与暗池交易相关的价格相关的逆向选择成本。我们证明了价值函数可以用奇异终值偏微分方程的唯一光滑解来刻画，建立了其在终值时刻的显式渐近行为，并给出了反馈形式的最优交易策略。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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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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