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q-fin.MF2026
Multi-Asset Liquidation in Dark Pools with Adverse Selection
Guanxing Fu, Johannes Ruf, Xiaomin Shi +1
We study the optimal liquidation of a multi-asset portfolio using both a traditional exchange and dark pools in the presence of quadratic adverse-selection costs. The problem leads…
q-fin.MF2026
Cash-invariant hull representation of divergence preferences
Aleš Černý, Johannes Ruf, Martin Schweizer
Uniformly weighted divergence preferences (UWDP) introduced in Maccheroni et al. (2006) are an important class of risk-averse preferences that contain as a special case the monoton…