A Note on Optimal Liquidation with Linear Price Impact

Yan Dolinsky; Doron Greenstein

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arXiv · 2402.14100

A Note on Optimal Liquidation with Linear Price Impact

Yan Dolinsky·Doron Greenstein

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Abstract

In this note we consider the maximization of the expected terminal wealth for the setup of quadratic transaction costs. First, we provide a very simple probabilistic solution to the problem. Although the problem was largely studied, as far as we know up to date this simple and probabilistic form of the solution has not appeared in the literature. Next, we apply the general result for the numerical study of the case where the risky asset is given by a fractional Brownian Motion and the information flow of the investor can be diversified.

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Yan Dolinsky, Doron Greenstein. 2024-02-21. A Note on Optimal Liquidation with Linear Price Impact. https://arxiv.org/abs/2402.14100

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