Literatura científica selecionada sobre o tema "Optimal liquidation portfolio"
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Artigos de revistas sobre o assunto "Optimal liquidation portfolio"
Guéant, Olivier, Charles-Albert Lehalle e Joaquin Fernandez-Tapia. "Optimal Portfolio Liquidation with Limit Orders". SIAM Journal on Financial Mathematics 3, n.º 1 (janeiro de 2012): 740–64. http://dx.doi.org/10.1137/110850475.
Texto completo da fonteCaccioli, Fabio, Susanne Still, Matteo Marsili e Imre Kondor. "Optimal liquidation strategies regularize portfolio selection". European Journal of Finance 19, n.º 6 (julho de 2013): 554–71. http://dx.doi.org/10.1080/1351847x.2011.601661.
Texto completo da fonteAnkirchner, Stefan, Christophette Blanchet-Scalliet e Anne Eyraud-Loisel. "Optimal portfolio liquidation with additional information". Mathematics and Financial Economics 10, n.º 1 (31 de maio de 2015): 1–14. http://dx.doi.org/10.1007/s11579-015-0147-3.
Texto completo da fonteBrown, David B., Bruce Ian Carlin e Miguel Sousa Lobo. "Optimal Portfolio Liquidation with Distress Risk". Management Science 56, n.º 11 (novembro de 2010): 1997–2014. http://dx.doi.org/10.1287/mnsc.1100.1235.
Texto completo da fonteNYSTRÖM, KAJ, SIDI MOHAMED OULD ALY e CHANGYONG ZHANG. "MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY". International Journal of Theoretical and Applied Finance 17, n.º 05 (28 de julho de 2014): 1450034. http://dx.doi.org/10.1142/s0219024914500344.
Texto completo da fonteKharroubi, Idris, e Huyên Pham. "Optimal Portfolio Liquidation with Execution Cost and Risk". SIAM Journal on Financial Mathematics 1, n.º 1 (janeiro de 2010): 897–931. http://dx.doi.org/10.1137/09076372x.
Texto completo da fonteGuéant, Olivier, Jean-Michel Lasry e Jiang Pu. "A Convex Duality Method for Optimal Liquidation with Participation Constraints". Market Microstructure and Liquidity 01, n.º 01 (junho de 2015): 1550002. http://dx.doi.org/10.1142/s2382626615500021.
Texto completo da fonteSchied, Alexander, e Tao Zhang. "A STATE-CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION". Mathematical Finance 27, n.º 3 (29 de setembro de 2015): 779–802. http://dx.doi.org/10.1111/mafi.12108.
Texto completo da fonteNeuman, Eyal, e Alexander Schied. "Optimal portfolio liquidation in target zone models and catalytic superprocesses". Finance and Stochastics 20, n.º 2 (20 de outubro de 2015): 495–509. http://dx.doi.org/10.1007/s00780-015-0280-0.
Texto completo da fonteYao, Dingjun, Hailiang Yang e Rongming Wang. "OPTIMAL DIVIDEND AND REINSURANCE STRATEGIES WITH FINANCING AND LIQUIDATION VALUE". ASTIN Bulletin 46, n.º 2 (25 de janeiro de 2016): 365–99. http://dx.doi.org/10.1017/10.1017/asb.2015.28.
Texto completo da fonteTeses / dissertações sobre o assunto "Optimal liquidation portfolio"
Crawford, Daniel J. "Monotone optimal policies for quasivariational inequalities arising in optimal portfolio liquidation". Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/51421.
Texto completo da fonteApplied Science, Faculty of
Electrical and Computer Engineering, Department of
Graduate
Xia, Xiaonyu. "Singular BSDEs and PDEs Arising in Optimal Liquidation Problems". Doctoral thesis, Humboldt-Universität zu Berlin, 2020. http://dx.doi.org/10.18452/21040.
Texto completo da fonteThis dissertation analyzes BSDEs and PDEs with singular terminal condition arising in models of optimal portfolio liquidation. Portfolio liquidation problems have received considerable attention in the financial mathematics literature in recent years. Their main characteristic is the singular terminal condition of the value function induced by the liquidation constraint, which translates into a singular terminal state constraint on the associated BSDE or PDE. The dissertation consists of three chapters. The first chapter analyzes a multi-asset portfolio liquidation problem with instantaneous and persistent price impact and stochastic resilience. We show that the value function can be described by a multi-dimensional BSRDE with a singular terminal condition. We prove the existence of a solution to this BSRDE and show that it can be approximated by a sequence of the solutions to BSRDEs with finite increasing terminal condition. A novel a priori estimate for the approximating BSRDEs is established for the verification argument. The second chapter considers a portfolio liquidation problem with unbounded cost coefficients. We establish the existence of a unique nonnegative continuous viscosity solution to the HJB equation. The existence result is based on a novel comparison principle for semi-continuous viscosity sub-/supersolutions for singular PDEs. Continuity of the viscosity solution is enough to carry out the verification argument. The third chapter studies an optimal liquidation problem under ambiguity with respect to price impact parameters. In this case the value function can be characterized by the solution to a semilinear PDE with superlinear gradient. We first prove the existence of a solution in the viscosity sense by extending our comparison principle for singular PDEs. Higher regularity is then established using an asymptotic expansion of the solution at the terminal time.
Lazgham, Mourad Verfasser], e Alexander [Akademischer Betreuer] [Schied. "A state-constrained stochastic optimal control problem arising in portfolio liquidation / Mourad Lazgham. Betreuer: Alexander Schied". Mannheim : Universitätsbibliothek Mannheim, 2015. http://d-nb.info/1078852286/34.
Texto completo da fonteLazgham, Mourad [Verfasser], e Alexander [Akademischer Betreuer] Schied. "A state-constrained stochastic optimal control problem arising in portfolio liquidation / Mourad Lazgham. Betreuer: Alexander Schied". Mannheim : Universitätsbibliothek Mannheim, 2015. http://d-nb.info/1078852286/34.
Texto completo da fonteNizard, David. "Programmation mathématique non convexe non linéaire en variables entières : un exemple d'application au problème de l'écoulement de larges blocs d'actifs". Electronic Thesis or Diss., université Paris-Saclay, 2023. http://www.theses.fr/2023UPASG015.
Texto completo da fonteMathematical programming provides a framework to study and resolve optimization problems, constrained or not. It represents an active domain of Applied Mathematics, for the second half of the 20th century.The aim of this thesis is to solve an non convex, non linear, pure integer, mathematical program, under a linear constraint of equality. This problem, although studied in this dissertation only in the deterministic case, stems from a financial application, known as the large block sale problem, or optimal portfolio liquidation. It consists in selling a (very large) known quantity M of a financial asset in finite time, discretized in N points in time, while maximizing the proceeds of the sale. At each point in time, the sell price is modeled by a penalty function, which reflects the antagonistic behavior of the market in response to our progressive selling flow.From the standpoint of the mathematical programming, this class of problems is NP-hard to solve according to Garey and Johnson, because the non convexity of the objective function imposes on us to adapt classical resolutions methods (Branch and Bound, cuts) for integer variables. In addition, as no general resolution method for this class of problems is known, the methods used for solving must be adapted to the problem specifics.The first part of the thesis is devoted to solve the problem, either exactly or approximately, using Dynamic Programming. We indeed prove that Bellman's equation applies to the problem studied and thus enables to solve it exactly and quickly for small instances. For medium and large instances, for which Dynamic Programming is either not available and/or efficient, we provide lower bounds using different heuristics relying on Dynamic Programming, or local search methods, for which performance (tightness and CPU time) and complexity are studied.The second part of this thesis focuses on the equivalent reformulation of the problem in a factored form, and on its convex relaxation using McCormick's inequalities. We introduce two exact resolution algorithms, which belongs to the Branch and Bound category. They return the global optimum or bound it in limited time.In a third part, dedicated to numerical experiments, we compare our resolution methods between each other and to state of the art solvers. We notice in particular that our bounds are comparable and sometimes even better than solvers' bounds, both free and commercial (e.g LocalSolver, Scip, Baron, Couenne et Bonmin), which we use as benchmark.In addition, we show that our resolution methods may apply to sufficiently regular and increasing penalty functions, especially functions which are currently not handled by some solvers, even though they make economic sense for the problem, as does trigonometric functions or the arctangent function for instance.Numerically, Dynamic Programming does optimally solve the problem, within a minute, for instances of size N<100 and M< 10 000. Our heuristics provide very tight lower bounds, which often reach the optimum, for N<1 000 and M<100 000. By contrast, optimal resolution of the factored problem proves efficient for instances of size N<10, M<1 000, even though we obtain relatively good upper bounds. Lastly, for large instances (M>1 000 000), our heuristics based on Dynamic Programming, when available, return the best lower bounds. However, we are not able to bound the optimum tightly, since our upper bounds are not thin
Shahin, Mahmoud. "Three essays on bank profitability, fragility, and lending". Thesis, University of Exeter, 2015. http://hdl.handle.net/10871/18675.
Texto completo da fonteCapítulos de livros sobre o assunto "Optimal liquidation portfolio"
Caccioli, Fabio, Susanne Still, Matteo Marsili e Imre Kondor. "Optimal liquidation strategies regularize portfolio selection". In New Facets of Economic Complexity in Modern Financial Markets, 217–29. Routledge, 2020. http://dx.doi.org/10.4324/9780429198557-11.
Texto completo da fonteAl Janabi, Mazin A. M. "Evaluation of Optimum and Coherent Economic-Capital Portfolios Under Complex Market Prospects". In Handbook of Research on Big Data Clustering and Machine Learning, 214–30. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0106-1.ch011.
Texto completo da fonteTrabalhos de conferências sobre o assunto "Optimal liquidation portfolio"
Crawford, Daniel, e Vikram Krishnamurthy. "Monotone optimal policies in portfolio liquidation problems". In ICASSP 2015 - 2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP). IEEE, 2015. http://dx.doi.org/10.1109/icassp.2015.7178626.
Texto completo da fonte