Salvato in:
| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2602.01968 |
| Tags: |
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Sommario:
- 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.