Optimal trade execution under jump diffusion process: a mean-VaR approach
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Cites work
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Empirical properties of asset returns: stylized facts and statistical issues
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal Liquidity Trading*
- Optimal execution with uncertain order fills in Almgren-Chriss framework
- Optimal trade execution: a mean quadratic variation approach
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Cited in
(4)- Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- Optimal execution strategy under arithmetic Brownian motion with VaR and ES as risk parameters
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