Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (Q4584996)
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scientific article; zbMATH DE number 6932195
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| English | Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies |
scientific article; zbMATH DE number 6932195 |
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Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (English)
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5 September 2018
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optimal trading
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mean variance
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pre-commitment
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mean quadratic variation
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time consistent
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arrival price
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implementation shortfall
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HJB PDE
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interpolation
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scaled grid
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0.89945495
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0.8825828
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0.87726766
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0.8665837
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0.8588144
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0.8559233
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0.85563976
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0.8512419
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0.85067755
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