48 citations · 195 across the 26 of their papers we have counts for
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math.OC2018
A Mean Field Game of Optimal Portfolio Liquidation
Guanxing Fu, Paulwin Graewe, Ulrich Horst +1
We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a FBSDE wi…
math.OC2018★ 3 cited
Multi-dimensional Optimal Trade Execution under Stochastic Resilience
Ulrich Horst, Xiaonyu Xia
We study a multi-dimensional optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience. In our model the value fun…