Optimal portfolio execution with a Markov chain approximation approach
Jingnan Chen, Liming Feng, Jiming Peng and Yu Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Chen, Jingnan ; Feng, Liming ; Peng, Jiming ; Zhang, Yu |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 34.2023, 1, p. 165-186
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| Subject: | portfolio execution | Markov chain approximation | multi-dimensional binomial method | linear extrapolation | cross-asset price impact | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpab025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013541854