|
| | | | |
| | | |
| Stat |
Members: 3645
Articles: 2'506'133
Articles rated: 2609
27 April 2024 |
|
| | | | |
|
Article overview
| |
|
|
Optimal Liquidation Strategies Regularize Portfolio Selection | | Fabio Caccioli
; Susanne Still
; Matteo Marsili
; Imre Kondor
; | | Date: |
23 Apr 2010 | | Abstract: | We consider the problem of portfolio optimization in the presence of market
impact, and derive optimal liquidation strategies. We discuss in detail the
problem of finding the optimal portfolio under Expected Shortfall (ES) in the
case of linear market impact. We show that, once market impact is taken into
account, a regularized version of the usual optimization problem naturally
emerges. We characterize the typical behavior of the optimal liquidation
strategies, in the limit of large portfolio sizes, and show how the market
impact removes the instability of ES in this context. | | Source: | arXiv, 1004.4169 | | Services: | Forum | Review | PDF | Favorites | |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
browser Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)
|
| |
|
|
|
|
News, job offers and information for researchers and scientists:
| |
REGISTER