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Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Finance and Stochastics [ISSN:] 1432-1122 [Volume:] 28 [Issue:] 3 [Publisher:] Springer Berlin Heidelberg [Place:] Berlin/Heidelberg [Year:] 2024 [Pages:] 759-812
Verlag: 
Springer Berlin Heidelberg, Berlin/Heidelberg
Zusammenfassung: 
Abstract We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an optimal liquidation problem with general semimartingale controls when the instantaneous impact factor converges to zero. Our results provide a unified framework within which to embed the two most commonly used modelling frameworks in the liquidation literature and provide a foundation for the use of semimartingale liquidation strategies and the use of portfolio processes of unbounded variation. Our convergence results are based on novel convergence results for BSDEs with singular terminal conditions and novel representation results of BSDEs in terms of uniformly continuous functions of forward processes.
Schlagwörter: 
Portfolio liquidation
Singular BSDE
Stochastic liquidity
Singular control
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Sonstige Angaben: 
G11;G12;G19
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Dokumentart: 
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Dokumentversion: 
Published Version
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