OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR (Q2927947): Difference between revisions

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+W1557794357
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+Optimal execution strategies in limit order books with general shape functions
+Normal rank
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+Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
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@@ Property / cites work @@
+Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
+Normal rank
@@ Property / cites work @@
+Optimal execution with nonlinear impact functions and trading-enhanced risk
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
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@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
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+Q4032143
@@ Property / cites work: Q4032143 / rank @@
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+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
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+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
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+Optimal Execution in a General One-Sided Limit-Order Book
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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@@ Property / cites work @@
+Optimal Basket Liquidation for CARA Investors is Deterministic
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+Publication:2927947