Optimal portfolio liquidation problem can be described by a optimization problem. The optimization target is to minimize the execution cost or maximize the profit under the consideration of time-inhomogeneous parameters, such as market impact parameters, during a specific period of time. In my thesis, the optimization problem can be written in the form of linear operator, which then can be transformed to the linear integral equation form. The linear integral equation can be solved by two methods: the Fredholm integral equation of the second type and the two-point boundary value problem. Following the same idea, this work introduces three basic models which are driftless single asset case, single asset case under drift and driftless multi-asset case. Based on these models, examples with constant parameters will be specifically studied so that we can analyze how different values of the drift have influence on the portfolio trading.     «

Optimal portfolio liquidation problem can be described by a optimization problem. The optimization target is to minimize the execution cost or maximize the profit under the consideration of time-inhomogeneous parameters, such as market impact parameters, during a specific period of time. In my thesis, the optimization problem can be written in the form of linear operator, which then can be transformed to the linear integral equation form. The linear integral equation can be solved by two methods...     »