Optimal liquidation with high risk aversion and small linear price impact

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dc.contributor.authorDolinskyi, Leonid
dc.contributor.authorDolinsky, Yan
dc.date.accessioned2024-04-25T18:05:10Z
dc.date.available2024-04-25T18:05:10Z
dc.date.issued2024
dc.description.abstractWe 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.en_US
dc.identifier.citationDolinskyi 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/s10203-024-00435-3en_US
dc.identifier.issn1129-6569
dc.identifier.urihttps://doi.org/10.1007/s10203-024-00435-3
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/29229
dc.language.isoenen_US
dc.relation.sourceDecisions in Economics and Financeen_US
dc.statusfirst publisheduk_UA
dc.subjectexponential utilityen_US
dc.subjectlinear price impacten_US
dc.subjectoptimal liquidationen_US
dc.subjectarticleen_US
dc.titleOptimal liquidation with high risk aversion and small linear price impacten_US
dc.typeArticleuk_UA
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