In:
Market Microstructure and Liquidity, World Scientific Pub Co Pte Ltd, Vol. 05, No. 01n04 ( 2019-12)
Kurzfassung:
We solve explicitly the Almgren–Chriss optimal liquidation problem where the stock price process follows a geometric Brownian motion. Our technique is to work in terms of cash and to use functional analysis tools. We show that this framework extends readily to the case of a stochastic drift for the price process and the liquidation of a portfolio.
Materialart:
Online-Ressource
ISSN:
2382-6266
,
2424-8037
DOI:
10.1142/S2382626620500057
Sprache:
Englisch
Verlag:
World Scientific Pub Co Pte Ltd
Publikationsdatum:
2019
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