Relative entropy-regularized robust optimal order execution

DOI10.1080/14697688.2025.2465704MaRDI QIDQ7002421zbMATH OpenFDO

Authors Tai-Ho Wang

Publication date 3 April 2025

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2025.2465704

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Financial markets (91G15) Optimal stochastic control (93E20)

Cites work

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• Optimal execution with uncertain order fills in Almgren-Chriss framework
• Optimal order execution under price impact: a hybrid model
• Optimal portfolio execution problem with stochastic price impact
• Optimal solution of the liquidation problem under execution and price impact risks
• The self-financing equation in limit order book markets

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