# TRADING WITH SMALL PRICE IMPACT

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

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DC FieldValueLanguage
dc.contributor.authorMoreau, L-
dc.contributor.authorMuhle-Karbe, J-
dc.contributor.authorSoner, H Mete-
dc.date.accessioned2021-10-11T14:18:02Z-
dc.date.available2021-10-11T14:18:02Z-
dc.date.issued2017-04-01en_US
dc.identifier.citationMoreau, L, Muhle-Karbe, J, Soner, HM. (2017). TRADING WITH SMALL PRICE IMPACT. Mathematical Finance, 27 (2), 350 - 400. doi:10.1111/mafi.12098en_US
dc.identifier.issn0960-1627-
dc.identifier.urihttp://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.extent350 - 400en_US
dc.language.isoen_USen_US
dc.relation.ispartofMathematical Financeen_US
dc.rightsAuthor's manuscripten_US