Optimal liquidation with high risk aversion and small linear price impact
Loading...
Date
2024
Authors
Dolinskyi, Leonid
Dolinsky, Yan
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
We consider the Bacheliermodel 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.
Description
Keywords
exponential utility, linear price impact, optimal liquidation, article
Citation
Dolinskyi L. Optimal liquidation with high risk aversion and small linear price impact / Leonid Dolinskyi, Yan Dolinsky // Decisions in Economics and Finance. - 2024. - 16 p. - https://doi.org/10.1007/s10203-024-00435-3