Optimal execution strategy in liquidity framework under exponential temporary market impact
Chiara Benazzoli and Luca Di Persio
| Year of publication: |
[2018]
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|---|---|
| Authors: | Benazzoli, Chiara ; Di Persio, Luca |
| Published in: |
Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets. - Cham : Springer Nature, ISBN 978-3-319-61318-5. - 2018, p. 251-265
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| Subject: | Stochastic mean-variance optimization | Non-liquid markets | Non linear market impact factors | Lambert function | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-61320-8_12 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011898647