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- W3121482948 abstract "In this study, we extend the optimal execution problem with convex market impact function studied in Kato (2014) to the case where the market impact function is S-shaped, that is, concave on $[0, bar {x}_0]$ and convex on $[bar {x}_0, infty )$ for some $bar {x}_0 geq 0$. We study the corresponding Hamilton-Jacobi-Bellman equation and show that the optimal execution speed under the S-shaped market impact is equal to zero or larger than $bar {x}_0$. Moreover, we provide some examples of the Black-Scholes model. We show that the optimal strategy for a risk-neutral trader with small shares is the time-weighted average price strategy whenever the market impact function is S-shaped." @default.
- W3121482948 created "2021-02-01" @default.
- W3121482948 creator A5089556628 @default.
- W3121482948 date "2017-06-29" @default.
- W3121482948 modified "2023-09-25" @default.
- W3121482948 title "An Optimal Execution Problem with S-shaped Market Impact Functions" @default.
- W3121482948 doi "https://doi.org/10.31390/cosa.11.3.01" @default.
- W3121482948 hasPublicationYear "2017" @default.
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