Optimal portfolio liquidation with additional information (Q253110): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6551193 / rank | |||
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| Property / zbMATH Keywords | |||
optimal liquidation | |||
| Property / zbMATH Keywords: optimal liquidation / rank | |||
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price impact | |||
| Property / zbMATH Keywords: price impact / rank | |||
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additional information | |||
| Property / zbMATH Keywords: additional information / rank | |||
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enlargement of filtration | |||
| Property / zbMATH Keywords: enlargement of filtration / rank | |||
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HJB equation | |||
| Property / zbMATH Keywords: HJB equation / rank | |||
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Revision as of 11:45, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio liquidation with additional information |
scientific article |
Statements
Optimal portfolio liquidation with additional information (English)
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8 March 2016
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optimal liquidation
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price impact
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additional information
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enlargement of filtration
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HJB equation
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