Optimal execution strategy under arithmetic Brownian motion with VaR and ES as risk parameters (Q5419792)
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scientific article; zbMATH DE number 6302823
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| English | Optimal execution strategy under arithmetic Brownian motion with VaR and ES as risk parameters |
scientific article; zbMATH DE number 6302823 |
Statements
OPTIMAL EXECUTION STRATEGY UNDER ARITHMETIC BROWNIAN MOTION WITH VAR AND ES AS RISK PARAMETERS (English)
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11 June 2014
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optimal trading
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price process, value at risk
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expected shortfall
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optimal control
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0.8295383453369141
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0.8139128684997559
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0.7921239733695984
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0.7856776118278503
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0.7854336500167847
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