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GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
2013
Mathematical Finance
We study the optimal liquidation problem using limit orders. If the seminal literature on optimal liquidation, rooted to Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk, it only answers the general question of the liquidation rhythm. The very question of the actual way to proceed is indeed rarely dealt with since most classical models use market orders only. Our model, that incorporates both price risk and non-execution risk,
doi:10.1111/mafi.12052
fatcat:fccfmntcffcgveyvao6ruw4xlq