Optimal Portfolio Liquidation with Distress Risk

We analyze the problem of an investor who needs to unwind a portfolio in the face of recurring and uncertain liquidity needs, with a model that accounts for both permanent and temporary price impact of trading. We first show that a risk-neutral investor who myopically deleverages his position to mee...

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Veröffentlicht in:	Management science 2010-11, Vol.56 (11), p.1997-2014
Hauptverfasser:	Brown, David B., Carlin, Bruce Ian, Lobo, Miguel Sousa
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Cash Economic models Exact sciences and technology Financial leverage Financial portfolios Investment Investment risk Investors Liquid assets Liquidation Liquidity Operational research and scientific management Operational research. Management science optimal liquidation Optimal solutions Portfolio management Portfolio theory price impact Price shocks Prices Risk Studies Trade
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