TRADING WITH SMALL PRICE IMPACT

Author(s): Moreau, L; Muhle-Karbe, J; Soner, H Mete

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DC Field	Value	Language
dc.contributor.author	Moreau, L	-
dc.contributor.author	Muhle-Karbe, J	-
dc.contributor.author	Soner, H Mete	-
dc.date.accessioned	2021-10-11T14:18:02Z	-
dc.date.available	2021-10-11T14:18:02Z	-
dc.date.issued	2017-04-01	en_US
dc.identifier.citation	Moreau, L, Muhle-Karbe, J, Soner, HM. (2017). TRADING WITH SMALL PRICE IMPACT. Mathematical Finance, 27 (2), 350 - 400. doi:10.1111/mafi.12098	en_US
dc.identifier.issn	0960-1627	-
dc.identifier.uri	http://arks.princeton.edu/ark:/88435/pr1h57p	-
dc.description.abstract	© 2015 Wiley Periodicals, Inc. An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general Markovian setting allowing for stochastic market, cost, and preference parameters. These results shed light on the general structure of the problem at hand, and also unveil close connections to optimal execution problems and to other market frictions such as proportional and fixed transaction costs.	en_US
dc.format.extent	350 - 400	en_US
dc.language.iso	en_US	en_US
dc.relation.ispartof	Mathematical Finance	en_US
dc.rights	Author's manuscript	en_US
dc.title	TRADING WITH SMALL PRICE IMPACT	en_US
dc.type	Journal Article	en_US
dc.identifier.doi	doi:10.1111/mafi.12098	-
dc.identifier.eissn	1467-9965	-
pu.type.symplectic	http://www.symplectic.co.uk/publications/atom-terms/1.0/journal-article	en_US

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