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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2602.01968 |
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| _version_ | 1866917241800359936 |
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| author | Hernández-Hernńdez, Daniel Moreno-Franco, Harold A. Pérez, José-Luis |
| author_facet | Hernández-Hernńdez, Daniel Moreno-Franco, Harold A. Pérez, José-Luis |
| contents | In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownian motion representing the evolution of the value of the firm, whose assets are available in the market for investors. Considering that selling a large number of assets has a significant impact in the price, and hence in the portfolio's value, the control problem involved to describe the optimal strategy to liquidate a large position is analyzed. Under suitable assumptions in the model, an explicit solution is given to the value function and a precise description of the optimal strategy is obtained. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_01968 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Optimal Liquidation in a Defaultable Market Hernández-Hernńdez, Daniel Moreno-Franco, Harold A. Pérez, José-Luis Optimization and Control In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownian motion representing the evolution of the value of the firm, whose assets are available in the market for investors. Considering that selling a large number of assets has a significant impact in the price, and hence in the portfolio's value, the control problem involved to describe the optimal strategy to liquidate a large position is analyzed. Under suitable assumptions in the model, an explicit solution is given to the value function and a precise description of the optimal strategy is obtained. |
| title | Optimal Liquidation in a Defaultable Market |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2602.01968 |