Optimal portfolio liquidation with additional information (Q253110): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6551193
@@ Property / zbMATH DE Number: 6551193 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal liquidation
@@ Property / zbMATH Keywords: optimal liquidation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+price impact
@@ Property / zbMATH Keywords: price impact / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+additional information
@@ Property / zbMATH Keywords: additional information / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+enlargement of filtration
@@ Property / zbMATH Keywords: enlargement of filtration / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+HJB equation
@@ Property / zbMATH Keywords: HJB equation / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11579-015-0147-3
+Normal rank
@@ Property / OpenAlex ID @@
+W1019129181
@@ Property / OpenAlex ID: W1019129181 / rank @@
+Normal rank
@@ Property / cites work @@
+A monetary value for initial information in portfolio optimization
+Normal rank
@@ Property / cites work @@
+Additional logarithmic utility of an insider
@@ Property / cites work: Additional logarithmic utility of an insider / rank @@
+Normal rank
@@ Property / cites work @@
+The Shannon information of filtrations and the additional logarithmic utility of insiders
+Normal rank
@@ Property / cites work @@
+Q3504634
@@ Property / cites work: Q3504634 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4429137
@@ Property / cites work: Q4429137 / rank @@
+Normal rank
@@ Property / cites work @@
+Additional utility of insiders with imperfect dynamical information
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
+Normal rank
@@ Property / cites work @@
+Insider Trading in a Continuous Time Market Model
@@ Property / cites work: Insider Trading in a Continuous Time Market Model / rank @@
+Normal rank
@@ Property / cites work @@
+Comparison of insiders' optimal strategies depending on the type of side-information
+Normal rank
@@ Property / cites work @@
+Q4003734
@@ Property / cites work: Q4003734 / rank @@
+Normal rank
@@ Property / cites work @@
+Anticipative portfolio optimization
@@ Property / cites work: Anticipative portfolio optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Random times and enlargements of filtrations in a Brownian setting.
+Normal rank
@@ Property / cites work @@
+A control problem with fuel constraint and Dawson-Watanabe superprocesses
+Normal rank
@@ Property / cites work @@
+Optimal Basket Liquidation for CARA Investors is Deterministic
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:253110