Optimal execution with uncertain order fills in Almgren–Chriss framework (Q4555058)
From MaRDI portal
scientific article; zbMATH DE number 6981177
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal execution with uncertain order fills in Almgren–Chriss framework |
scientific article; zbMATH DE number 6981177 |
Statements
Optimal execution with uncertain order fills in Almgren–Chriss framework (English)
0 references
19 November 2018
0 references
optimal execution
0 references
order fill uncertainty
0 references
price impact
0 references
stochastic optimal control
0 references
utility maximization
0 references
0 references
0 references
