Optimal investment on finite horizon with random discrete order flow in illiquid markets (Q3086254)
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scientific article; zbMATH DE number 5871438
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| English | Optimal investment on finite horizon with random discrete order flow in illiquid markets |
scientific article; zbMATH DE number 5871438 |
Statements
OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS (English)
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30 March 2011
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liquidity modelling
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discrete order flow
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optimal investment
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inhomogeneous Poisson process
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dynamic programming
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0.8559061884880066
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0.8356382846832275
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0.8192245364189148
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0.814091145992279
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0.8028345108032227
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