Pages that link to "Item:Q4449551"
From MaRDI portal
The following pages link to Optimal execution with nonlinear impact functions and trading-enhanced risk (Q4449551):
Displayed 50 items.
- Adaptive basket liquidation (Q287672) (← links)
- Optimal portfolio liquidation in target zone models and catalytic superprocesses (Q287674) (← links)
- Incorporating order-flow into optimal execution (Q300846) (← links)
- Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
- Single asset optimal trading strategies with stochastic dominance constraints (Q338920) (← links)
- VaR optimal portfolio with transaction costs (Q427038) (← links)
- Optimal algorithms for trading large positions (Q445966) (← links)
- Optimal trading of algorithmic orders in a liquidity fragmented market place (Q492830) (← links)
- Stylized facts of price gaps in limit order books (Q508284) (← links)
- Optimal placement in a limit order book: an analytical approach (Q513747) (← links)
- Hedging with temporary price impact (Q513749) (← links)
- Portfolio choice under transitory price impact (Q609848) (← links)
- Stock repurchase with an adaptive reservation price: a study of the greedy policy (Q631204) (← links)
- Low order-value approach for solving var-constrained optimization problems (Q656968) (← links)
- Optimal decision for selling an illiquid stock (Q658561) (← links)
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (Q964670) (← links)
- A model for optimal execution of atomic orders (Q975353) (← links)
- A guided tour of new results on ``trade execution in illiquid markets'' (Q977311) (← links)
- Toy models and stylized realities (Q978851) (← links)
- Regularity properties in a state-constrained expected utility maximization problem (Q1616834) (← links)
- Explicit solution for constrained optimal execution problem with general correlated market depth (Q1655928) (← links)
- Optimal order display in limit order markets with liquidity competition (Q1657500) (← links)
- Option pricing for a large trader with price impact and liquidity costs (Q1684699) (← links)
- A trade execution model under a composite dynamic coherent risk measure (Q1785321) (← links)
- Curve following in illiquid markets (Q1932555) (← links)
- Optimal execution with weighted impact functions: a quadratic programming approach (Q1941201) (← links)
- A class of optimal portfolio liquidation problems with a linear decreasing impact (Q1992659) (← links)
- A sample-path approach to optimal position liquidation (Q2480246) (← links)
- Optimal security liquidation algorithms (Q2574056) (← links)
- ALGORITHMIC TRADING WITH LEARNING (Q2814668) (← links)
- A Closed-Form Execution Strategy to Target Volume Weighted Average Price (Q2832615) (← links)
- RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY (Q2862513) (← links)
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791) (← links)
- How efficiency shapes market impact (Q2871427) (← links)
- Mean–Variance Optimal Adaptive Execution (Q2889596) (← links)
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY (Q2927944) (← links)
- OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY (Q2927946) (← links)
- OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR (Q2927947) (← links)
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (Q3006607) (← links)
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS (Q3008482) (← links)
- Optimal Execution in a Market with Small Investors (Q3063873) (← links)
- Optimal Basket Liquidation for CARA Investors is Deterministic (Q3063877) (← links)
- On derivatives with illiquid underlying and market manipulation (Q3088325) (← links)
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS (Q3100751) (← links)
- THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (Q3161737) (← links)
- MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY (Q3191840) (← links)
- Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions (Q3456837) (← links)
- Optimal Execution with Dynamic Order Flow Imbalance (Q3456840) (← links)
- A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA (Q3465607) (← links)
- Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks (Q4553793) (← links)