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16 February 2025
 
  » arxiv » 2301.01555

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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
AbstractWe 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
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