Publication:3534743
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zbMath1154.91407MaRDI QIDQ3534743
Aurélien Alfonsi, Antje Fruth, Alexander Schied
Publication date: 4 November 2008
market impact model; optimal portfolio liquidation; liquidity risk; call auction; market order; constrained trading strategies; limit order book with resilience
91B70: Stochastic models in economics
60G35: Signal detection and filtering (aspects of stochastic processes)
93E20: Optimal stochastic control
91B26: Auctions, bargaining, bidding and selling, and other market models
91G10: Portfolio theory
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