Optimal Basket Liquidation for CARA Investors is Deterministic (Q3063877): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Basket Liquidation for CARA Investors is Deterministic |
scientific article |
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Optimal Basket Liquidation for CARA Investors is Deterministic (English)
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15 December 2010
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market impact modelling
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illiquid markets
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optimal liquidation
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optimal trade execution
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algorithmic trading
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utility maximization
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Hamilton-Jacobi-Bellman equation
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finite fuel control
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