Optimal portfolio execution under time-varying liquidity constraints (Q5373911)
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scientific article; zbMATH DE number 6856771
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio execution under time-varying liquidity constraints |
scientific article; zbMATH DE number 6856771 |
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Optimal portfolio execution under time-varying liquidity constraints (English)
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6 April 2018
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optimal portfolio execution
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limit order market
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market impact model
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convex programming
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Karush-Kuhn-Tucker conditions
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