OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (Q3008482)

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OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
scientific article

    Statements

    title
    OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (English)
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    author
    Vicky Henderson
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    David G. Hobson
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    publication date
    16 June 2011
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    zbMATH Keywords
    portfolio liquidation
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    utility maximization
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    calculus of variations
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    optimal strategy
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    price impact
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B16
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    91G20
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    zbMATH DE Number
    5908410
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