OPTIMAL EXECUTION STRATEGY UNDER ARITHMETIC BROWNIAN MOTION WITH VAR AND ES AS RISK PARAMETERS

DOI10.12732/IJAM.V27I2.5zbMath1296.91245OpenAlexW2098869491MaRDI QIDQ5419792

Chiara Benazzoli, Luca Di Persio

Publication date: 11 June 2014

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3dc9a9d42ee0425b7a437daf87da6b597bf4eb58

zbMATH Keywords

optimal controlexpected shortfalloptimal tradingprice process, value at risk

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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