Optimal portfolio execution with a Markov chain approximation approach (Q5877565)
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scientific article; zbMATH DE number 7653422
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| English | Optimal portfolio execution with a Markov chain approximation approach |
scientific article; zbMATH DE number 7653422 |
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Optimal portfolio execution with a Markov chain approximation approach (English)
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14 February 2023
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portfolio execution
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Markov chain approximation
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multi-dimensional binomial method
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linear extrapolation
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cross-asset price impact
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0.8299416899681091
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0.8286383152008057
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0.821699321269989
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0.8152815103530884
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