MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY (Q3191840): Difference between revisions

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+Optimal execution strategies in limit order books with general shape functions
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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+Coherent Measures of Risk
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+Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
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+High-frequency trading in a limit order book
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+Optimal Control of Trading Algorithms: A General Impulse Control Approach
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+Modelling Asset Prices for Algorithmic and High-Frequency Trading
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+Price Dynamics in a Markovian Limit Order Market
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+Risk, Ambiguity, and the Savage Axioms
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+A Definition of Uncertainty Aversion
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+Uncertainty, risk-neutral measures and security price booms and crashes
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+Convex measures of risk and trading constraints
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+A Hamilton-Jacobi-Bellman approach to optimal trade execution
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+Optimal trade execution: a mean quadratic variation approach
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+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
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+Maxmin expected utility with non-unique prior
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+Optimal Portfolio Liquidation with Limit Orders
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+Dealing with the inventory risk: a solution to the market making problem
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+Optimal high-frequency trading with limit and market orders
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+Bayesian model averaging: A tutorial. (with comments and a rejoinder).
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+Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
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+Mean–Variance Optimal Adaptive Execution
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+Optimal Execution in a General One-Sided Limit-Order Book
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+Q5826088
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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