arXiv subjects

Leonid Dolinskyi

Publications and source records attributed to Leonid Dolinskyi.

3 recordsLinked to original sources

arXiv2023

Optimal Liquidation with High Risk Aversion and Small Linear Price Impact

We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing a non-trivial scaling limit for a vanishing price impact which is inversely proportional to the risk aversion. We compute the limit of the corresponding utility indifference prices and find explicitly a family of portfolios which are asymptotically optimal.

q-fin.MF↗

arXiv2021

A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The main idea of our proof is to establish a uniqueness result for the optimal strategy. The proof of the uniqueness is heavily based on the dual approach which was developed recently in [6,7,8].

q-fin.MF↗

arXiv2020

Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs

In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we establish a limit theorem for the optimal trading strategies. The proofs are based on the extended weak convergence theory developed in [1] and the Meyer--Zheng topology introduced in [24].

q-fin.MF↗