Optimal portfolio liquidation with additional information (Q253110)

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Optimal portfolio liquidation with additional information
scientific article

    Statements

    title
    Optimal portfolio liquidation with additional information (English)
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    publication date
    8 March 2016
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    93E20
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    60H30
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    zbMATH DE Number
    6551193
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