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Article Dans Une Revue Mathematics and Financial Economics Année : 2016

Optimal liquidation with additional information

Résumé

We consider the problem of how to optimally close a large assetposition in a market with a linear temporary price impact. We take the perspectiveof an agent who obtains a signal about the future price evolvement.By means of classical stochastic control we derive explicit formulas for the closingstrategy that minimizes the expected execution costs. We compare agentsobserving the signal with agents who do not see it. We compute explicitly theexpected additional gain due to the signal, and perform a comparative staticsanalysis.
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Dates et versions

hal-00735298 , version 1 (25-09-2012)
hal-00735298 , version 2 (04-11-2015)
hal-00735298 , version 3 (11-01-2016)

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Paternité - Pas de modifications

Identifiants

  • HAL Id : hal-00735298 , version 3

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Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel. Optimal liquidation with additional information. Mathematics and Financial Economics, 2016, 10 (1). ⟨hal-00735298v3⟩
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