Optimal portfolio selection under concave price impact (Q360368)
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scientific article; zbMATH DE number 6201594
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal portfolio selection under concave price impact |
scientific article; zbMATH DE number 6201594 |
Statements
Optimal portfolio selection under concave price impact (English)
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26 August 2013
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liquidity risk
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price impact
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transaction cost
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impulse control
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optimal portfolio selection
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stochastic optimization
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concave function
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quasi-variational inequality
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trading size
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0.8746119141578674
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0.8662422895431519
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0.8606252074241638
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0.8590151071548462
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0.8588249683380127
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