Dynamic portfolio selection with market impact costs (Q1785239): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.orl.2014.04.008
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+W2019404230
@@ Property / OpenAlex ID: W2019404230 / rank @@
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@@ Property / cites work @@
+Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
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+Dynamic trading policies with price impact
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+Q3791007
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+Optimum consumption and portfolio rules in a continuous-time model
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+Optimal Basket Liquidation for CARA Investors is Deterministic
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+A model of optimal portfolio selection under liquidity risk and price impact
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