Multivariate transient price impact and matrix-valued positive definite functions
Aurélien Alfonsi (Université Paris-Est, CERMICS, Projet MathRisk ENPC-INRIA-UMLV, Ecole des Ponts, Marne La Vallée, France), Florian Klöck, Alexander Schied (Department of Mathematics, University of Mannheim, Mannheim, Germany)
| Year of publication: |
August 2016
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|---|---|
| Authors: | Alfonsi, Aurélien ; Klöck, Florian ; Schied, Alexander |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 3, p. 914-934
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| Subject: | multivariate price impact | matrix-valued positive definite function | optimal trade execution | optimal portfolio liquidation | matrix function | Theorie | Theory | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2015.0761 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011520739