2 papers
math.OC2021
Stochastic Maximum Principle for Optimal Liquidation with Control-dependent Terminal Time
Riccardo Cesari, Harry Zheng
In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time,…
math.OC2020
Optimal Liquidation in a Mean-reverting Portfolio
Riccardo Cesari, Harry Zheng
In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent i…