Duality theory for exponential utility-based hedging in the Almgren-Chriss model (Q6500021): Difference between revisions

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-.1017/jpr.2023.49
@@ Property / DOI: 10.1017/jpr.2023.49 / rank @@
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+Optimal Investment with Transient Price Impact
@@ Property / cites work: Optimal Investment with Transient Price Impact / rank @@
+Normal rank
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+What if we knew what the future brings? Optimal investment for a frontrunner with price impact
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@@ Property / cites work @@
+LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
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+Q4263612
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+Exponential Hedging and Entropic Penalties
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+Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
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+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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+Optimal trade execution in order books with stochastic liquidity
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+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
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+Q4528914
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+Hedging, arbitrage and optimality with superlinear frictions
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+Optimal Basket Liquidation for CARA Investors is Deterministic
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+On general minimax theorems
@@ Property / cites work: On general minimax theorems / rank @@
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@@ Property / DOI @@
+.1017/JPR.2023.49
@@ Property / DOI: 10.1017/JPR.2023.49 / rank @@
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+Publication:6500021