A state-constrained differential game arising in optimal portfolio liquidation (Q5283403)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 6751206
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
21 July 2017
0 references
optimal portfolio liquidation
0 references
optimal trade execution
0 references
illiquid markets
0 references
differential game with state constraints
0 references
0 references
0 references
0.8220887780189514
0 references
0.7973147630691528
0 references
0.79515540599823
0 references
0.7941920757293701
0 references
0.7925213575363159
0 references
