A mean-field control problem of optimal portfolio liquidation with semimartingale strategies
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
| Year of publication: |
2024
|
|---|---|
| Authors: | Fu, Guanxing ; Horst, Ulrich ; Xia, Xiaonyu |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 49.2024, 4, p. 2356-2384
|
| Subject: | mean-field control | portfolio liquidation | semimartingale strategy | Portfolio-Management | Portfolio selection | Theorie | Theory | Martingal | Martingale | Mathematische Optimierung | Mathematical programming | Liquidität | Liquidity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2022.0174 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015197927