Optimal portfolio execution with a Markov chain approximation approach

DOI10.1093/IMAMAN/DPAB025MaRDI QIDQ5877565zbMATH OpenOpenAlexFDO

Authors

Publication date 14 February 2023

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpab025

zbMATH Keywords

cross-asset price impactlinear extrapolationMarkov chain approximationmulti-dimensional binomial methodportfolio execution

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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