26 citations · 71 across the 45 of their papers we have counts for
Showing 2024Show all
2 papers · 1 filter
q-fin.MF2024
Some Computations for Optimal Execution with Monotone Strategies
Yan Dolinsky
We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the cu…
q-fin.CP2024
A Note on Optimal Liquidation with Linear Price Impact
Yan Dolinsky, Doron Greenstein
In this note we consider the maximization of the expected terminal wealth for the setup of quadratic transaction costs. First, we provide a very simple probabilistic solution to th…