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A convex duality method for optimal liquidation with participation constraints

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Olivier Guéant, Jean-Michel Lasry, Jiang Pu

Trading and Market Microstructure · Submitted 17 Jul 2014

abstract compiled · 2026-09-23 · no language-model review

The authors' main claim Our method, based on convex duality, only requires Hamiltonian functions to have $C^{1,1}$ regularity while classical methods require additional regularity and cannot be applied to all cases found in practice.

how it is stated · asserted 1.00 read the record →

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arXiv ID1407.4614 (version 4)
Pith IDPLP6JAES, Pith's permanent record of this paper and its review
CitationJean-Michel Lasry, Jiang Pu, Olivier Gu\'eant. "A convex duality method for optimal liquidation with participation constraints." arXiv:1407.4614 (2014). https://pith.science/paper/PLP6JAES
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The compiled record

The paper's own sentences, arranged. Each label is drawn from a closed vocabulary; the number beside it is the probability the classifier gave that label. Numbers in the tables are the authors', checked by code. No sentence in this record was written by a model.

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Compiled by classifier-1.13-20260917 via OpenRouter, question bank abstract-p1-20260923, 2026-09-23: 1 request, 3,646 input tokens, $0.0002 reported.

What the abstract itself states, as probabilities: claims first 0.11 · states limitation 0.17 · human participants 0.02 · controlled comparison 0.05 · randomized assignment 0.01 · states quantitative result 0.04 · compares with prior results 0.80 · mentions code or data availability 0.02.

The abstract, sentence by sentence

arXiv listing abstract v4. Results and the main claim are underlined; .

In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to approximate the optimal strategy of a trader willing to unwind a large portfolio. The method we propose is very general as it can be applied to multi-asset portfolios with any form of execution costs, including a bid-ask spread component, even when participation constraints are imposed. Our method, based on convex duality, only requires Hamiltonian functions to have $C^{1,1}$ regularity while classical methods require additional regularity and cannot be applied to all cases found in practice.

background contribution method result interpretation main claim

What the classifier reports for each sentence. The number is the probability it gave the label.
#sentencerolethe authors' own workstates the main conclusionstrength
s0 In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. gap 0.94 0.04 0.04 asserted 1.00
s1 In this article, we present a numerical method to approximate the optimal strategy of a trader willing to unwind a large portfolio. contribution 1.00 0.93 0.19 asserted 1.00
s2 The method we propose is very general as it can be applied to multi-asset portfolios with any form of execution costs, including a bid-ask spread component, even when participation constraints are imposed. contribution 0.71 0.84 0.21 asserted 0.87
s3 Our method, based on convex duality, only requires Hamiltonian functions to have $C^{1,1}$ regularity while classical methods require additional regularity and cannot be applied to all cases found in practice. method 0.51 0.75 0.21 asserted 1.00

What kind of paper the classifier reports this is: method or tool 1.00 · evidence from simulation or computation 0.61.

What was examined, and what was not

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not examined
  • full text
  • figures and tables
  • references and citing sentences
  • relations to other papers
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  • P abstract
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  • S sections
  • T body sentences
  • C citations
  • R cross-paper relations

Every quoted sentence on this record is the authors'. Every label is from Pith's closed vocabulary, with the probability shown beside it. Every number in the measurements table is the authors', checked by code. Record as JSON

The paper
Original abstract

In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to approximate the optimal strategy of a trader willing to unwind a large portfolio. The method we propose is very general as it can be applied to multi-asset portfolios with any form of execution costs, including a bid-ask spread component, even when participation constraints are imposed. Our method, based on convex duality, only requires Hamiltonian functions to have $C^{1,1}$ regularity while classical methods require additional regularity and cannot be applied to all cases found in practice.

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