Presentation: Optimal portfolio liquidation
Workshop: Advanced Modeling in Finance and Insurance
Time: Fri, September 26, 2008, 09:30-10:20
Speaker: Alexander Schied
Abstract
A variety of circumstances can force a market participant to liquidate an asset position that is so large that selling it will significantly impact the underlying asset price. In this talk, we will discuss the problem of constructing optimized liquidation algorithms. Depending on the choice of the model, we can get results for a simple criterion such as the minimization of the expected costs or for the more complicated task of maximizing the expected utility of the seller.
Presentation slides (pdf, 891 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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