Optimal solution of the liquidation problem under execution and price impact risks (Q5079391): Difference between revisions

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+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+Optimal Trading with Stochastic Liquidity and Volatility
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+Optimal portfolio liquidation with additional information
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+Sequential decisions in the control of a space-ship (finite fuel)
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+Optimal liquidation under stochastic liquidity
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+Some solvable stochastic control problemst<sup>†</sup>
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+Q5619754
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+Trading co‐integrated assets with price impact
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+Optimal execution with uncertain order fills in Almgren–Chriss framework
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+Optimal order placement in limit order markets
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+Simulation of conditioned diffusion and application to parameter estimation
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+What is the Optimal Trading Frequency in Financial Markets?
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+Optimal trade execution: a mean quadratic variation approach
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+OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH
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+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
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+Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
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+GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
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+Mean-Field Game Strategies for Optimal Execution
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+Pricing Interest-Rate-Derivative Securities
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+Volatility modeling and prediction: the role of price impact
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+On using shadow prices in portfolio optimization with transaction costs
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+Probabilistic aspects of finite-fuel stochastic control
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+Q3091370
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+Smooth Trading with Overconfidence and Market Power
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+Drift dependence of optimal trade execution strategies under transient price impact
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+Optimal portfolio execution problem with stochastic price impact
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+Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
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+A control problem with fuel constraint and Dawson-Watanabe superprocesses
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+Optimal Basket Liquidation for CARA Investors is Deterministic
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+Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
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+Improved bridge constructs for stochastic differential equations
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