Optimal Portfolio Liquidation with Limit Orders
Optimal Portfolio Liquidation with Limit Orders
This paper addresses portfolio liquidation using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [J. Risk, 3 (2000), pp. 5--39], or only on the liquidity-consuming orders like Obizhaeva and Wang in [Optimal Trading Strategy and Supply/Demand Dynamics, SSRN eLibrary, 2005], we link …