Roy H. Kwon
Roy H. Kwon is an Associate Professor at the Department of Mechanical and Industrial Engineering at the University of Toronto, St. George Campus. He is also a member of the faculty in the Masters of Mathematical Finance (MMF) Program at the University of Toronto. He received his PhD from the University of Pennsylvania in Operations Research from the Department of Electrical and Systems Engineering in 2002. His research focuses on financial engineering (portfolio optimization, asset allocation, risk management, and option pricing). In addition, he has worked and consulted in the use of operations research (optimization) for the financial and service sectors.
In this paper, a novel quasi-multiperiod model for optimal position liquidation in the presence of both temporary and permanent market impact is proposed. Two main features distinguish the proposed approach from its alternatives.