Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal execution strategy in the presence of permanent price impact and fixed transaction cost |
scientific article |
Statements
Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (English)
0 references
26 November 2013
0 references
price impact
0 references
impulse control
0 references
singular control
0 references
dynamic programming
0 references
viscosity solutions
0 references
