Optimal Execution with Multiplicative Price Impact (Q5250046): Difference between revisions

@@ Property / cites work @@
+Q3534743
@@ Property / cites work: Q3534743 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal execution strategies in limit order books with general shape functions
+Normal rank
@@ Property / cites work @@
+Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
+Normal rank
@@ Property / cites work @@
+Optimal execution with nonlinear impact functions and trading-enhanced risk
+Normal rank
@@ Property / cites work @@
+Price Dynamics in a Markovian Limit Order Market
@@ Property / cites work: Price Dynamics in a Markovian Limit Order Market / rank @@
+Normal rank
@@ Property / cites work @@
+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal trade execution: a mean quadratic variation approach
+Normal rank
@@ Property / cites work @@
+Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
+Normal rank
@@ Property / cites work @@
+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
+Normal rank
@@ Property / cites work @@
+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+Dynamic trading policies with price impact
@@ Property / cites work: Dynamic trading policies with price impact / rank @@
+Normal rank
@@ Property / cites work @@
+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR
+Normal rank
@@ Property / cites work @@
+Degenerate Variance Control of a One-Dimensional Diffusion
+Normal rank
@@ Property / cites work @@
+Optimal Execution in a General One-Sided Limit-Order Book
+Normal rank
@@ Property / cites work @@
+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
+Normal rank
@@ Property / cites work @@
+Optimal Basket Liquidation for CARA Investors is Deterministic
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
+Normal rank
@@ Property / cites work @@
+Generalized solution in singular stochastic control: The nondegenerate problem
+Normal rank