Maestría en Finanzas Cuantitativas
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Examinando Maestría en Finanzas Cuantitativas por Materia "Acciones (bolsa)"
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- ÍtemAcceso AbiertoOptimal liquidation with non-linear permanent price impact(2019-06-13) Sánchez López, Julián Fernando; Ramírez Jaime, Hugo EduardoThis study addresses a basic model to solve a problem of liquidation of shares, which does not take into consideration the round trip trade, a fundamental concept for establishing the condition of linearity of the permanent impact, and excluded from that imposition, the change in the optimal policies for the liquidation of a number of shares is explored from an analytical and a numerical perspective, when the functional form of the permanent price impact is non-linear.