OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (Q3008482)
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scientific article; zbMATH DE number 5908410
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS |
scientific article; zbMATH DE number 5908410 |
Statements
OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (English)
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16 June 2011
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portfolio liquidation
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utility maximization
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calculus of variations
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optimal strategy
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price impact
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0.9139501
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0.9031671
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0.8985475
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0.8979995
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0.89504075
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0.8921381
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0.88874686
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0.8848776
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0.88284886
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