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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Schied, Alexander et al.
Munich Personal RePEc Archive · Reports
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liquidationventure-capital
We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal strategy as classical solutions of nonlinear parabolic parti
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