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Article overview
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Optimal Liquidation with High Risk Aversion in the Almgren--Chriss Model: A Case Study | Leonid Dolinskyi
; Yan Dolinsky
; | Date: |
4 Jan 2023 | Abstract: | We consider the Bachelier model with linear price impact. Exponential utility
indifference prices are studied for vanilla European options in the case where
the investor is required to liquidate her position at the maturity date. Our
main result is establishing a non-trivial scaling limit for a vanishing price
impact which is inversely proportional to the risk aversion. We compute the
limit of the corresponding utility indifference prices and find explicitly a
family of portfolios which are asymptotically optimal. | Source: | arXiv, 2301.01555 | Services: | Forum | Review | PDF | Favorites |
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