Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (Q285995)
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scientific article; zbMATH DE number 6582842
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| English | Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy |
scientific article; zbMATH DE number 6582842 |
Statements
Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (English)
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19 May 2016
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optimal execution
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computational stochastic programming
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dynamic programming
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penalty functions
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0.8094573020935059
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0.7714014053344727
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0.7712003588676453
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0.7560408115386963
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0.748853325843811
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