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Article Dans Une Revue Market microstructure and liquidity Année : 2015

A convex duality method for optimal liquidation with participation constraints

Résumé

In spite of the growing consideration for optimal execution issues in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to approximate the optimal strategy of a trader willing to unwind a large portfolio. The method we propose is very general as it can be applied to multi-asset portfolios with any form of execution costs, including a bid-ask spread component, even when participation constraints are imposed. Our method, based on convex duality, only requires Hamiltonian functions to have C^{1,1} regularity while classical methods require additional regularity and cannot be applied to all cases found in practice.

Dates et versions

hal-01393127 , version 1 (06-11-2016)

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Olivier Guéant, Jean-Michel Lasry, Jiang Pu. A convex duality method for optimal liquidation with participation constraints. Market microstructure and liquidity, 2015, 1 (1), ⟨10.1142/S2382626615500021⟩. ⟨hal-01393127⟩
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