On Regularized Optimal Execution Problems and Their Singular Limits
On Regularized Optimal Execution Problems and Their Singular Limits
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model indirect liquidity costs as temporary price impact, stipulating a power law to relate it to …