A shrinking horizon optimal liquidation framework with lower partial moments criteria
Hassan Anis and Roy H. Kwon
| Year of publication: |
2020
|
|---|---|
| Authors: | Anis, Hassan ; Kwon, Roy H. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2020, 4, p. 1-33
|
| Subject: | intraday trading | optimal liquidationm shrinking horizon | lower partial moments | stochastic programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.432 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012212469