4 papers · 1 filter
Optimal Liquidation of Perpetual Contracts
Ryan Donnelly, Junhan Lin, Matthew Lorig
An agent holds a position in a perpetual contract with payoff function and attempts to liquidate the position while managing transaction costs, inventory risk, and funding rate…
Exploratory Control with Tsallis Entropy for Latent Factor Models
Ryan Donnelly, Sebastian Jaimungal
We study optimal control in models with latent factors where the agent controls the distribution over actions, rather than actions themselves, in both discrete and continuous time.…
Optimal Trading with Differing Trade Signals
Ryan Donnelly, Matthew Lorig
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a…
Hedging Non-Tradable Risks with Transaction Costs and Price Impact
Alvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
A risk-averse agent hedges her exposure to a non-tradable risk factor using a correlated traded asset and accounts for the impact of her trades on both factors. The effect…