Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (Q285995)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy |
scientific article |
Statements
Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (English)
0 references
19 May 2016
0 references
optimal execution
0 references
computational stochastic programming
0 references
dynamic programming
0 references
penalty functions
0 references
0 references
