Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791): Difference between revisions

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Latest revision as of 03:07, 7 July 2024

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Optimal execution strategy in the presence of permanent price impact and fixed transaction cost
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    Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (English)
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    26 November 2013
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    price impact
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    impulse control
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    singular control
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    dynamic programming
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    viscosity solutions
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