Optimal portfolio execution problem with stochastic price impact

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Publication:2288736

DOI10.1016/j.automatica.2019.108739zbMath1430.91086OpenAlexW2992175681MaRDI QIDQ2288736

Chi Chung Siu, Guiyuan Ma, Robert J. Elliott, Song-Ping Zhu

Publication date: 20 January 2020

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2019.108739




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