Optimal portfolio execution problem with stochastic price impact (Q2288736)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio execution problem with stochastic price impact |
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Optimal portfolio execution problem with stochastic price impact (English)
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20 January 2020
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stochastic optimal control
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application in finance
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optimal portfolio execution problem
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regime-switching price impact
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Markov jump system
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coupled differential Riccati equations
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