LAUSR

Optimal liquidation of financial derivatives

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0 Published in 2020 at "Finance Research Letters"

DOI: 10.1016/j.frl.2019.07.006

Abstract: Abstract We propose a two-period robust optimization model for portfolio liquidation under a cash requirement that finds the least costly liquidation strategy. The basic asset return is assumed to belong to a scaled ellipsoid while… read more here.

Keywords: return; finance; financial derivatives; liquidation financial ... See more keywords