Title	Trading with small price impact
Creator	Muhle-Karbe, Johannes
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2014-05-12
Description	An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general Markovian setting allowing for stochastic market, cost, and preference parameters. These results shed light on the general structure of the problem at hand, and also unveil close connections to optimal execution problems and to other market frictions such as proportional and fixed transaction costs. (Joint work with Ludociv Moreau and H. Mete Soner)\r\n
Extent	40 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes; Mathematical finance
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: ETH Zürich
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2014-10-28
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0044147
URI	http://hdl.handle.net/2429/50897
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
Aggregated Source Repository	DSpace

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