Optimal liquidation with dynamic parameter updating: a forward approach
type: Item
instance of: scholarly article
title: Optimal liquidation with dynamic parameter updating: a forward approach
zbMATH Open document ID: 1542.91385
author: Haoran Wang
author: Thaleia Zariphopoulou
published in: Probability, Uncertainty and Quantitative Risk
publication date: 2024-08-13T00:00:00Z
Mathematics Subject Classification ID: 91G15
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7896282
zbMATH Keywords: optimal liquidation
zbMATH Keywords: dynamic parameter updating
zbMATH Keywords: forward approach
zbMATH Keywords: full liquidation
zbMATH Keywords: time consistency
zbMATH Keywords: backward approach
zbMATH Keywords: expected utility model
MaRDI profile type: MaRDI publication profile
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DOI: 10.3934/PUQR.2024012
description: scientific article; zbMATH DE number 7896282