A note on optimal liquidation with linear price impact
Pub. online: 20 August 2024
Type: Research Article
Open Access
Open Access
Received
14 April 2024
14 April 2024
Revised
4 August 2024
4 August 2024
Accepted
4 August 2024
4 August 2024
Published
20 August 2024
20 August 2024
Abstract
In this note the maximization of the expected terminal wealth for the setup of quadratic transaction costs is considered. First, a very simple probabilistic solution to the problem is provided. Although the problem was largely studied, as far as authors know up to date this simple and probabilistic form of the solution has not appeared in the literature. Next, the general result is applied for the numerical study of the case where the risky asset is given by a fractional Brownian motion and the information flow of the investor can be diversified.
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