A state-constrained differential game arising in optimal portfolio liquidation (Q5283403)
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scientific article; zbMATH DE number 6751206
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| English | A state-constrained differential game arising in optimal portfolio liquidation |
scientific article; zbMATH DE number 6751206 |
Statements
A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION (English)
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21 July 2017
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optimal portfolio liquidation
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optimal trade execution
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illiquid markets
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differential game with state constraints
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0.8220887780189514
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0.7973147630691528
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0.79515540599823
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0.7941920757293701
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0.7925213575363159
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