OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (Q3006607)
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scientific article; zbMATH DE number 5909990
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| English | OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK |
scientific article; zbMATH DE number 5909990 |
Statements
OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (English)
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20 June 2011
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HJB
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optimal execution
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risk measures
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market impact
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0.88917166
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0.8864611
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0.8760411
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0.8736324
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0.87340707
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0.87022907
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0.8689182
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