Optimal liquidation with directional views and additional information - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2012

Optimal liquidation with directional views and additional information

Résumé

We consider the problem of how to optimally close a large asset position in a market with a linear temporary price impact. We take the perspective of an agent with a market opinion that translates into a (linear) drift in asset price dynamics. By appealing to classical stochastic control we derive explicit formulas for the closing strategy that minimizes a sum of execution costs and a quadratic risk functional. We then proceed by comparing agents observing a signal about the asset's future price with agents who do not see the signal. We compute explicitly the expected additional gain due to the signal, and perform a comparative statics analysis
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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)

Identifiants

  • HAL Id : hal-00735298 , version 1

Citer

Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel. Optimal liquidation with directional views and additional information. 2012. ⟨hal-00735298v1⟩
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