# Seminars & Colloquia Calendar

## Optimal investment with transient price impact

#### Moritz Voss - UC Santa Barbara

Location: ** Hill 705**

Date & time: Tuesday, 27 November 2018 at 11:50AM - 12:55PM

### Abstract: We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem of maximizing expected utility from terminal liquidation wealth at a finite planning horizon. In the specific case when market uncertainty is generated by an arithmetic Brownian motion with drift and the investor exhibits constant absolute risk aversion, we show that the resulting singular optimal stochastic control problem readily reduces to a deterministic optimal tracking problem of the optimal frictionless constant Merton portfolio in the presence of convex costs. Rather than studying the associated Hamilton-Jacobi-Bellmann PDE, we exploit convex analytic and calculus of variations techniques allowing us to construct the solution explicitly and to describe the free boundaries of the action- and non-action regions in the underlying state space. As expected, it is optimal to trade towards the frictionless Merton position, taking into account the initial bid-ask spread as well as the optimal liquidation of the accrued position when approaching terminal time. It turns out that this leads to a surprisingly rich phenomenology of possible trajectories for the optimal share holdings.

Chiara Damiolini, Ian Coley and Franco Rota -Charles Weibel Organizer's Page

Brooke Logan

Wujun Zhang Organizer's webpage

P. Gupta, X.Huang and J. Song Organizer's webpage

Swastik Kopparty, Sepehr Assadi Seminar webpage

Jeffry Kahn, Bhargav Narayanan, Jinyoung Park Organizer's webpage

Brooke Ogrodnik, Website

Robert Dougherty-Bliss and Doron Zeilberger --> homepage

Paul Feehan, Daniel Ketover, Natasa Sesum Organizer's webpage

Lev Borisov, Emanuel Diaconescu, Angela Gibney, Nicolas Tarasca, and Chris Woodward Organizer's webpage

Jason Saied Seminar webpage

Brian Pinsky, Rashmika Goswami website

Quentin Dubroff Organizer's webpage

James Holland; Organizer website

Edna Jones Organizer's webpage

Brooke Ogrodnik website

Yanyan Li, Zheng-Chao Han, Jian Song, Natasa Sesum Organizer's Webpage

Organizer: Luochen Zhao

Yanyan Li, Zheng-Chao Han, Natasa Sesum, Jian Song Organizer's Page

Lisa Carbone, Yi-Zhi Huang, James Lepowsky, Siddhartha Sahi Organizer's webpage

Simon Thomas website

Kasper Larsen, Daniel Ocone and Kim Weston Organizer's page

Joel Lebowitz, Michael Kiessling

Yanyan Li, Haim Brezis Organizer's Webpage

Stephen D. Miller, John C. Miller, Alex V. Kontorovich, Alex Walker seminar website

Stephen D. Miller

Brooke Ogrodnik, Website

Organizers: Yanyan Li, Z.C. Han, Jian Song, Natasa Sesum

Yael Davidov Seminar webpage

Kristen Hendricks, Xiaochun Rong, Hongbin Sun, Chenxi Wu Organizer's page

Fioralba Cakoni Seminar webpage

Ebru Toprak, Organizer

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