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Found 12 papers, 1 papers with code
A Note on Optimal Liquidation with Linear Price Impact
In this note we consider the maximization of the expected terminal wealth for the setup of quadratic transaction costs.
Delayed Semi-static Hedging in the Continuous Time Bachelier Model
In this work we study the continuous time exponential utility maximization problem in the framework of semi-static hedging.
Explicit Computations for Delayed Semistatic Hedging
In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.
Exponential Utility Maximization in a Discrete Time Gaussian Framework
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution.
Optimal investment with a noisy signal of future stock prices
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations.
Optimal Liquidation with High Risk Aversion and Small Linear Price Impact
We consider the Bachelier model with linear price impact.
Duality Theory for Exponential Utility--Based Hedging in the Almgren--Chriss Model
In this paper, we obtain a duality result for the exponential utility maximization problem where trading is subject to quadratic transaction costs and the investor is required to liquidate her position at the maturity date.
Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
We consider the Bachelier model with linear price impact.
What if we knew what the future brings? Optimal investment for a frontrunner with price impact
In this paper we study optimal investment when the investor can peek some time units into the future, but cannot fully take advantage of this knowledge because of quadratic transaction costs.
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs.
The Value of Insider Information for Super--Replication with Quadratic Transaction Costs
We study super--replication of European contingent claims in an illiquid market with insider information.
Continuous-time Duality for Super-replication with Transient Price Impact
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an exponential rate.
