Seminars

Optimal Portfolio Liquidation: Market Impact Models, Algorithms, and Competition

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Date: 11-20-2007
Start Time: 1:00pm
End Time: 2:00pm
Speaker: Alexander Schied, Berlin University of Technology
Location: Mudd 303

ABSTRACT

A variety of circumstances can force a market participant to liquidate an asset position that is so large that selling it will significantly impact the underlying asset price. In this talk, we will review some of the mathematical models that have been proposed to deal with this often nonlinear price impact. We will then discuss the problem of constructing optimized liquidation algorithms that minimize a cost functional or maximize the expected utility of the seller. A particularly interesting situation occurs when competing traders become aware of the seller's.

BIO

Alexander Schied is currently Professor of Mathematics at TU Berlin and Visiting Associate Professor at the School of ORIE at Cornell University. His research is in probability theory and stochastic analysis with applications to mathematical finance and economics. Recent research topics include risk measures and risk management, robust portfolio choice under model uncertainty, and optimization problems in the face of liquidity risk. From 2006 to 2007, Alexander Schied  was Scientific Director of the Deutsche Bank Quantitative Products Laboratory in Berlin. He is a Scientist in Charge of the Research Center Matheon and member of the Berlin-Zurich Research Training Group "Stochastic Models of Complex Systems" and of the SFB 649 "Economic Risk" at Humboldt University. He holds a Ph.D. in Mathematics from the University of Bonn.