1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.MF2023
Optimal Liquidation with High Risk Aversion and Small Linear Price Impact
Leonid Dolinskyi, Yan Dolinsky
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is require…
q-fin.MF2021
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi +1
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs.…
q-fin.MF2019★ 1 cited
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
Erhan Bayraktar, Leonid Dolinskyi, Yan Dolinsky
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corr…