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Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets

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Andreev N. A.

The problem of optimal portfolio liquidation under transaction costs has been widely researched recently, thus producing several approaches to problem formulation and solving. Obtained results can be used for decision making during portfolio selection or automatic trading at high-frequency electronic markets. This work gives a review of modern studies in this field, comparing models and tracking their evolution. The paper also presents results of applying the most recent findings in this field to real MICEX shares high-frequency data and gives an interpretation of the results.

Language: English
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Keywords: влияние на ценуportfolio liquidationликвидация портфелярыночная ликвидностьoptimal portfolio selectionprice impactmarket liquidityоптимальное управление портфелем
Publication based on the results of:
Financial Market Microstructure Study (2011)

In book

Financial Econometrics and Empirical Market Microstructure
NY: Springer, 2015.
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