Optimal basket liquidation for CARA investors is deterministic (Q3063877)
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scientific article; zbMATH DE number 5827272
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| English | Optimal basket liquidation for CARA investors is deterministic |
scientific article; zbMATH DE number 5827272 |
Statements
Optimal Basket Liquidation for CARA Investors is Deterministic (English)
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15 December 2010
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market impact modelling
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illiquid markets
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optimal liquidation
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optimal trade execution
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algorithmic trading
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utility maximization
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Hamilton-Jacobi-Bellman equation
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finite fuel control
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0.8685369491577148
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0.8674168586730957
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0.8293682932853699
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0.8216046094894409
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0.811112105846405
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