Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/315063 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Finance and Stochastics [ISSN:] 1432-1122 [Volume:] 28 [Issue:] 3 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2024 [Pages:] 759-812
Verlag: 
Springer, Berlin, Heidelberg
Zusammenfassung: 
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
JEL: 
G11
G12
G19
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Dokumentversion: 
Published Version

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.