OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR (Q2927947)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR |
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OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR (English)
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5 November 2014
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limit order book
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optimal liquidation
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optimal execution
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CARA utility
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singular control
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discontinuous intervention boundary
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