Ítem
Acceso Abierto
Optimal liquidation with non-linear permanent price impact
Título de la revista
Autores
Sánchez López, Julián Fernando
Archivos
Fecha
2019-06-13
Directores
Ramírez Jaime, Hugo Eduardo
ISSN de la revista
Título del volumen
Editor
Universidad del Rosario
Citations
Métricas alternativas
Resumen
Abstract
This 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.
Palabras clave
Optimal stochastic control , Non-linear permanent price impact , Liquidation of shares , Hamilton Jacobi Bellman , Finite difference method
