Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/336567 
Year of Publication: 
2024
Series/Report no.: 
Discussion Paper No. 517
Publisher: 
Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition, München und Berlin
Abstract: 
We consider both N-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially short position of stocks are only allowed to buy while players with an initially long position are only allowed to sell the stock. Under suitable conditions on the model parameters we show that the games are equivalent to games of timing where the players need to determine the optimal times of market entry and exit. We identify the equilibrium entry and exit times and prove that equilibrium mean-trading rates can be characterized in terms of the solutions to a highly non-linear higher-order integral equation with endogenous terminal condition. We prove the existence of a unique solution to the integral equation from which we obtain the existence of a unique equilibrium both in the mean-field and the N-player game.
Subjects: 
portfolio liquidation
mean-field game
Nash equilibrium
trading constraint
non-linear integral equations
Document Type: 
Working Paper

Files in This Item:
File
Size
513.37 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.