A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.apnum.2010.10.004
+Normal rank
@@ Property / OpenAlex ID @@
+W1971952725
@@ Property / OpenAlex ID: W1971952725 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance problem with constrained risk control for the insurers
+Normal rank
@@ Property / cites work @@
+Q4356582
@@ Property / cites work: Q4356582 / rank @@
+Normal rank
@@ Property / cites work @@
+A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications
+Normal rank
@@ Property / cites work @@
+Q3355178
@@ Property / cites work: Q3355178 / rank @@
+Normal rank
@@ Property / cites work @@
+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
+Normal rank
@@ Property / cites work @@
+A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
+Normal rank
@@ Property / cites work @@
+A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal trade execution: a mean quadratic variation approach
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance portfolio selection with borrowing constraint
+Normal rank
@@ Property / cites work @@
+Dynamic trading policies with price impact
@@ Property / cites work: Dynamic trading policies with price impact / rank @@
+Normal rank
@@ Property / cites work @@
+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+Normal rank
@@ Property / cites work @@
+More statistical properties of order books and price impact
+Normal rank
@@ Property / cites work @@
+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
+Normal rank
@@ Property / cites work @@
+A model of optimal portfolio selection under liquidity risk and price impact
+Normal rank
@@ Property / cites work @@
+Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank