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Optimal liquidation strategies
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613335223009280 |
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| access_status_str | Open Access |
| author | Ennis, Michael |
| author2 | Maritz, EJ |
| author_browse | Ennis, Michael Maritz, EJ |
| author_facet | Maritz, EJ Ennis, Michael |
| author_sort | Ennis, Michael |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8119 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:28.941Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8119 Optimal liquidation strategies Ennis, Michael Maritz, EJ Guo, Renkuan Mathematical Finance Includes bibliographical references. Liquidation strategies consider the problem of minimising transaction costs occurring in a portfolio liquidation. Transaction costs are the difference between current market value and the realised value after the liquidation. A strategy to follow to perform a liquidation is especially important to institutional investors due the large size of their trades. Large trades can have a significant effect on the price of a security which can impact the realised returns of the liquidation. These models solve for trading trajectories that maximise this. The models investigated do this in a mean-variance framework where the expected return of the strategy is constrained by its variance and the investors risk preference. Parameters used in liquidity functions are estimated for securities on the South African JSE Securities Exchange. The effects of security liquidity, volatility, stock correlation and length of liquidation horizon on the optimal strategy are investigated. There is little or no existing literature that attempts to model these functions in the South African market. Due to the smaller size of the South African market as well as the number of thinly traded shares compared to most markets studied in the literature, many securities are highly illiquid. We investigate relationships between firm size and daily traded value and these liquidity parameters. General rules are presented to help traders improve a liquidation strategy without the need to estimate all parameters needed to calculate an optimal strategy using one of these models. 2014-10-06T11:24:17Z 2014-10-06T11:24:17Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/8119 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematical Finance Ennis, Michael Optimal liquidation strategies |
| thesis_degree_str | Master's |
| title | Optimal liquidation strategies |
| title_full | Optimal liquidation strategies |
| title_fullStr | Optimal liquidation strategies |
| title_full_unstemmed | Optimal liquidation strategies |
| title_short | Optimal liquidation strategies |
| title_sort | optimal liquidation strategies |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/8119 |
| work_keys_str_mv | AT ennismichael optimalliquidationstrategies |