A class of optimal portfolio liquidation problems with a linear decreasing impact

DOI10.1155/2017/3758605zbMath1427.91259OpenAlexW2610128822WikidataQ59147504 ScholiaQ59147504MaRDI QIDQ1992659

Jiangming Ma, Hongjing Chen, Zheng Yin

Publication date: 5 November 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/3758605

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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