Abstract
We give an overview of the dissertation “Trade execution in illiquid markets: Optimal stochastic control and multi-agent equilibria” (Schoneborn, PhD thesis, TU Berlin, 2008). The dissertation focuses on two questions in the field of optimal trade execution strategies: First, how should traders best sell an illiquid asset position if they want to maximize the expected utility of liquidation proceeds? And second, in a situation where one market participant needs to liquidate a position, what is the effect of other market participants obtaining advance information of this impending liquidation?
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