Optimal liquidation with non-linear permanent price impact
This study addresses a basic model to solve a problem of liquidation of shares, which does not take into consideration the round trip trade, a fundamental concept for establishing the condition of linearity of the permanent impact, and excluded from that imposition, the change in the optimal policie...
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| Formato: | Tesis de maestría (Master Thesis) |
| Lenguaje: | Español (Spanish) |
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Universidad del Rosario
2019
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| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/20022 |
| Sumario: | This study addresses a basic model to solve a problem of liquidation of shares, which does not take into consideration the round trip trade, a fundamental concept for establishing the condition of linearity of the permanent impact, and excluded from that imposition, the change in the optimal policies for the liquidation of a number of shares is explored from an analytical and a numerical perspective, when the functional form of the permanent price impact is non-linear. |
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