Seminar series
Date
Thu, 23 Jan 2014
Time
16:00 -
17:30
Location
L2
Speaker
Johannes Muhle-Karbe
Organisation
(ETH) Zurich
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth.
In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general Markovian setting allowing for stochastic market,
cost, and preference parameters. These results shed light on the general structure of the problem at hand, and also unveil close connections to
optimal execution problems and to other market frictions such as proportional and fixed transaction costs.