Optimal execution with multiplicative price impact and incomplete information on the return
Felix Dammann, Giorgio Ferrari
| Year of publication: |
2023
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|---|---|
| Authors: | Dammann, Felix ; Ferrari, Giorgio |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 27.2023, 3, p. 713-768
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| Subject: | Multiplicative price impact | Optimal execution problem | Optimal stopping | Partial observation | Singular stochastic control | Unvollkommene Information | Incomplete information | Suchtheorie | Search theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-023-00508-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014328989