A note on optimal liquidation with linear price impact
In this note the maximization of the expected terminal wealth for the setup of quadratic transaction costs is considered. First, a very simple probabilistic solution to the problem is provided. Although the problem was largely studied, as far as authors know up to date this simple and probabilistic...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2024-08-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/24-VMSTA264 |
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