Optimal execution with uncertain order fills in Almgren–Chriss framework (Q4555058): Difference between revisions
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scientific article; zbMATH DE number 6981177
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal execution with uncertain order fills in Almgren–Chriss framework |
scientific article; zbMATH DE number 6981177 |
Statements
Optimal execution with uncertain order fills in Almgren–Chriss framework (English)
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19 November 2018
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optimal execution
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order fill uncertainty
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price impact
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stochastic optimal control
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utility maximization
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