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    author
    Aurélien Alfonsi
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    Antje Fruth
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    Alexander Schied
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    publication date
    4 November 2008
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    Mathematics Subject Classification ID
    91B26
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    91G10
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    91B70
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    93E20
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    60G35
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    zbMATH DE Number
    5361721
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    zbMATH Keywords
    liquidity risk
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    optimal portfolio liquidation
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    limit order book with resilience
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    call auction
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    market impact model
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    constrained trading strategies
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    market order
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