Optimal liquidation with additional information - Archive ouverte HAL
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 asset position in a market with a linear temporary price impact. We take the perspective of an agent who obtains a signal about the future price evolvement. By means of classical stochastic control we derive explicit formulas for the closing strategy that minimizes the expected execution costs. We compare agents observing the signal with agents who do not see it. 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)

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  • HAL Id : hal-00735298 , version 2

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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-00735298v2⟩
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