97 citations · 798 across the 62 of their papers we have counts for
Showing 2009Show all
3 papers · 1 filter
q-fin.PM2009
Optimal investment on finite horizon with random discrete order flow in illiquid markets
Paul Gassiat, Huyen Pham, Mihai Sirbu
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs…
math.PR2009★ 43 cited
Optimal portfolio liquidation with execution cost and risk
Idris Kharroubi, Huyen Pham
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution tra…
math.PR2009★ 3 cited
Optimal investment with counterparty risk: a default-density modeling approach
Ying Jiao, Huyen Pham
We consider a financial market with a stock exposed to a counterparty risk inducing a drop in the price, and which can still be traded after this default time. We use a default-den…