Optimal execution with uncertain order fills in Almgren–Chriss framework (Q4555058): Difference between revisions

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+Optimal Trading with Stochastic Liquidity and Volatility
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+LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
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+A Hamilton-Jacobi-Bellman approach to optimal trade execution
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+Optimal trade execution: a mean quadratic variation approach
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+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
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+GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
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+Dynamic Portfolio Execution and Information Relaxations
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+Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function
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+Mean–Variance Optimal Adaptive Execution
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+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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+Continuous time mean variance asset allocation: a time-consistent strategy
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