PORTFOLIO LIQUIDATION UNDER FACTOR UNCERTAINTY

• 成果类型: Article
• 署名作者: Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao
• 署名单位: Humboldt University of Berlin; Humboldt University of Berlin; Wenzhou University; City University of Hong Kong
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/21-AAP1672
• 发表日期: 2022
• 页码: 80-123
• 关键词: optimal trade execution; CHOICE; BSDEs; EQUATIONS; REGULARITY

摘要

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semilinear PDE with superlinear gradient, monotone generator and singular terminal value. We also establish an asymptotic analysis of the robust model for small amounts of uncertainty and analyze the effect of robustness on optimal trading strategies and liquidation costs. In particular, in our model ambiguity aversion is observationally equivalent to increased risk aversion. This suggests that ambiguity aversion increases liquidation rates.