Portfolio liquidation under factor uncertainty (Q2117436)

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Portfolio liquidation under factor uncertainty
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    title
    Portfolio liquidation under factor uncertainty (English)
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    DOI
    10.1214/21-AAP1672
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    author
    Ulrich Horst
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    Xiaonyu Xia
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    Chao Zhou
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    publication date
    21 March 2022
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    60H30
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    zbMATH DE Number
    7493817
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    zbMATH Keywords
    stochastic control
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    uncertainty
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    portfolio liquidation
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    singular terminal value
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    super-linear growth gradient
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    arXiv ID
    1909.00748
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    cites work
    Q5436596
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    Q4205251
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    Q5562267
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    Q4263364
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    OpenAlex ID
    W4214670899
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