Optimal execution with multiplicative price impact
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Cites work
- scientific article; zbMATH DE number 5361721 (Why is no real title available?)
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Cited in
(43)- Optimal trading with signals and stochastic price impact
- Hedging with physical or cash settlement under transient multiplicative price impact
- Execution shortfall algorithms under regime switching
- INFORMED OPPORTUNISTIC TRADING AND PRICE OPTIMAL CONTROL
- Irreversible capital accumulation with economic impact
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- Optimal Execution: A Review
- Optimal Execution with Quadratic Variation Inventories
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- A discrete-time optimal execution problem with market prices subject to random environments
- Optimal execution with multiplicative price impact and incomplete information on the return
- Optimal Execution with Identity Optionality
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Optimal liquidation trajectories for the Almgren-Chriss model
- Optimizing execution cost using stochastic control
- Singular stochastic control model for algae growth management in dam downstream
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- High frequency trading and asymptotics for small risk aversion in a Markov renewal model
- Optimal portfolio execution problem with stochastic price impact
- Optimal asset liquidation with multiplicative transient price impact
- HJB equations with gradient constraint associated with controlled jump-diffusion processes
- Optimal installation of solar panels with price impact: a solvable singular stochastic control problem
- Optimal installation of renewable electricity sources: the case of Italy
- Optimal accelerated share repurchases
- Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
- Periodic strategies in optimal execution with multiplicative price impact
- Accelerated share repurchase: pricing and execution strategy
- Optimal placement in a limit order book: an analytical approach
- Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
- Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
- Optimal liquidation under partial information with price impact
- Finite horizon optimal execution with bounded rate of transaction
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