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A guided tour of new results on “trade execution in illiquid markets”. (English) Zbl 1195.91150

Summary: We give an overview of the T. Schöneborn’s dissertation [Trade execution in illiquid markets: optimal stochastic control and multi-agent equilibria, PhD thesis, TU Berlin (2008)]. The dissertation focuses on two questions in the field of optimal trade execution strategies. First, how should traders best sell an illiquid asset position if they want to maximize the expected utility of liquidation proceeds? And second, in a situation where one market participant needs to liquidate a position, what is the effect of other market participants obtaining advance information of this impending liquidation?

MSC:

91G10 Portfolio theory
91B16 Utility theory
93E20 Optimal stochastic control
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References:

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