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20192023
most citedExtended Weak Convergence and Utility Maximization with Proportional Transaction Costs

1 citations · 1 across the 3 of their papers we have counts for

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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…