Stochastic liquidity as a proxy for nonlinear price impact

DOI10.1287/OPRE.2022.0627MaRDI QIDQ6579640FDOQ6579640

Authors: Johannes Muhle-Karbe, Zexin Wang, Kevin N. Webster 

Publication date: 25 July 2024

Published in: Operations Research (Search for Journal in Brave)

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zbMATH Keywords

dynamic programmingfinanceportfoliooptimal controlprobabilityfinancial engineeringstochastic model applications

Mathematics Subject Classification ID

Dynamic programming (90C39) Financial markets (91G15)

Cited In (1)

• Nash equilibria for relative investors with (non)linear price impact

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