Optimal execution with dynamic risk adjustment
Xue Cheng, Marina Di Giacinto & Tai-Ho Wang
| Year of publication: |
2019
|
|---|---|
| Authors: | Cheng, Xue ; Di Giacinto, Marina ; Wang, Tai-Ho |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 70.2019, 10, p. 1662-1677
|
| Subject: | Optimal execution | price impact | dynamic risk measures | trading strategies | stochastic optimal control | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Risiko | Risk | Kontrolltheorie | Control theory | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2019.1644143 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012214354