Pages that link to "Item:Q964670"
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The following pages link to Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (Q964670):
Displaying 50 items.
- Liquidation with self-exciting price impact (Q253113) (← links)
- Adaptive basket liquidation (Q287672) (← links)
- Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
- Optimal deleveraging with nonlinear temporary price impact (Q319326) (← links)
- An optimal execution problem with market impact (Q457189) (← links)
- Optimal placement in a limit order book: an analytical approach (Q513747) (← links)
- Hedging with temporary price impact (Q513749) (← links)
- On a PDE arising in one-dimensional stochastic control problems (Q607894) (← links)
- A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638) (← links)
- Optimal decision for selling an illiquid stock (Q658561) (← links)
- A model for a large investor trading at market indifference prices. II: Continuous-time case. (Q748319) (← links)
- A guided tour of new results on ``trade execution in illiquid markets'' (Q977311) (← links)
- Regularity properties in a state-constrained expected utility maximization problem (Q1616834) (← links)
- Rebalancing multiple assets with mutual price impact (Q1626513) (← links)
- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions (Q1681457) (← links)
- Financial markets with a large trader (Q1704151) (← links)
- Optimal trade execution under jump diffusion process: a mean-VaR approach (Q1727117) (← links)
- Optimal execution with regime-switching market resilience (Q1734569) (← links)
- Curve following in illiquid markets (Q1932555) (← links)
- Optimal liquidation under partial information with price impact (Q1986008) (← links)
- A class of optimal portfolio liquidation problems with a linear decreasing impact (Q1992659) (← links)
- Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity (Q2288912) (← links)
- A model for a large investor trading at market indifference prices. I: Single-period case (Q2339125) (← links)
- Hedging, arbitrage and optimality with superlinear frictions (Q2354892) (← links)
- Regularized robust optimization: the optimal portfolio execution case (Q2376119) (← links)
- Learning about latent dynamic trading demand (Q2675363) (← links)
- Price impact in Nash equilibria (Q2697496) (← links)
- RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (Q2862513) (← links)
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791) (← links)
- Mean–Variance Optimal Adaptive Execution (Q2889596) (← links)
- OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR (Q2927947) (← links)
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (Q3006607) (← links)
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (Q3008482) (← links)
- Optimal Basket Liquidation for CARA Investors is Deterministic (Q3063877) (← links)
- On derivatives with illiquid underlying and market manipulation (Q3088325) (← links)
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS (Q3100751) (← links)
- MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY (Q3191840) (← links)
- Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions (Q3456837) (← links)
- Optimal execution with uncertain order fills in Almgren–Chriss framework (Q4555058) (← links)
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996) (← links)
- Rebalancing with Linear and Quadratic Costs (Q4591242) (← links)
- OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS (Q4635037) (← links)
- Optimal Execution and Block Trade Pricing: A General Framework (Q4682484) (← links)
- TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (Q4906522) (← links)
- RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES (Q4909145) (← links)
- Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters (Q4958393) (← links)
- Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (Q5071495) (← links)
- OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK (Q5121205) (← links)
- Finite horizon optimal execution with bounded rate of transaction (Q5243383) (← links)
- Optimal liquidation in dark pools (Q5245909) (← links)
