Smooth solutions to portfolio liquidation problems under price-sensitive market impact (Q681996)
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scientific article
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| English | Smooth solutions to portfolio liquidation problems under price-sensitive market impact |
scientific article |
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Smooth solutions to portfolio liquidation problems under price-sensitive market impact (English)
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13 February 2018
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stochastic optimal control
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portfolio liquidation
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singular terminal value
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0.8491309881210327
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0.8443019986152649
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0.8307685256004333
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0.8275146484375
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0.8234009146690369
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