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Published / Preprint: Optimal portfolios in commodity futures markets. (arXiv:1204.2667v1 [q-fin.PM])

April 13, 2012 by MoneyScience   Comments (0)

We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of futures price curve models which admit a finite-dimensional realization. Using this, we recast the portfolio optimization problem as a finite-dimensional control problem and study its solvability.

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Published / Preprint: Drift dependence of optimal order execution strategies under transient price impact. (arXiv:1204.2716v1 [q-fin.TR])

April 13, 2012 by MoneyScience   Comments (0)

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely continuous. Optimal strategies often do not exist, and when they do, they depend strongly on the derivative of the drift. Our approach uses elements from singular stochastic control, even though the...

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Published / Preprint: Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework. (arXiv:1204.2717v1 [q-fin.TR])

April 13, 2012 by MoneyScience   Comments (0)

Assuming geometric Brownian motion as unaffected price process $S^0$, Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on market changes but can still be computed in closed form. Here we will investigate the robustness of this strategy with respect to misspecification of the law of $S^0$. We prove the surprising result that the strategy remains optimal whenever $S^0$ is a square-integrable martingale. We then analyze the optimization...

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Published / Preprint: Optimal execution and price manipulations in time-varying limit order books. (arXiv:1204.2736v1 [q-fin.TR])

April 13, 2012 by MoneyScience   Comments (0)

This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this framework for both discrete and continuous time strategies. This gives in particular sufficient conditions to exclude Price Manipulations in the sense of Huberman and Stanzl or Transaction-Triggered Price Manipulations (see Alfonsi, Schied and Slynko). These...

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Blog Post: TheReformedBroker: Love is an Amazon Book Review

April 13, 2012 by MoneyScience   Comments (0)

If you liked it and you want to make sure more people read it, the best way to show your love is a book review.

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Blog Post: WealthandCapitalMarketsBlog: A Magic Lamp for Bonds?

April 12, 2012 by MoneyScience   Comments (0)

Blackrock Solutions recently announced it had set up a bond crossing network with the working title “Aladdin Trading Network”. The idea is that the buy-side would be able to anonymously cross corporate bonds, mortgage securities, or other fixed income instruments, bypassing dealers for some portion of their trading lists. read more...

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Blog Post: FINalternatives: FH Launches Onshore Feeder For EM Debt Fund

April 12, 2012 by MoneyScience   Comments (0)

FH International Asset Management has launched a Delaware-domiciled feeder fund for its Cayman-based FH Emerging Markets Short Term Debt fund.read more...

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