Séminaire FDD-FiME // E. Abi Jaber
Title :
Optimal Liquidation with Signals: the General Propagator Case
Abstract :
We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price impact. We formulate these problems as minimization of a revenue-risk functionals, where the agent also exploits available information on a progressively measurable price predicting signal. By using an infinite dimensional stochastic control Read more [...]
