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SUMMARY:Smooth solutions to portfolio liquidation problems under price-sen
 sitive market impact - Horst\, U (Humboldt-Universitt zu Berlin)
DTSTART:20131121T090000Z
DTEND:20131121T095000Z
UID:TALK48948@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-authors: Paulwin Graewe\, Eric Sere\n\nWe establish existen
 ce and uniqueness of a classical solution to a semilinear parabolic\nparti
 al dierential equation with singular initial condition. This equation desc
 ribes the\nvalue function of the control problem of a nancial trader that 
 needs to unwind a large\nasset portfolio within a short period of time. Th
 e trader can simultaneously submit\nactive orders to a primary market and 
 passive orders to a dark pool. Our framework\nis  flexible enough to allow
  for price dependent impact functions describing the trading\ncosts in the
  primary market and price dependent adverse selection costs associated wit
 h\ndark pool trading. We establish the explicit asymptotic behavior of the
  value function\nat the terminal time and give the optimal trading strateg
 y in feedback form.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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