Nonlinear price impact and portfolio choice

DOI10.1111/mafi.12234OpenAlexW3126039549MaRDI QIDQ5109969

Paolo Guasoni, Marko H. Weber

Publication date: 14 May 2020

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12234

zbMATH Keywords

price impacttrading volumesquare-root law

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Financial markets (91G15)

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