Optimal portfolio liquidation in target zone models and catalytic superprocesses
Eyal Neuman, Alexander Schied
| Year of publication: |
April 2016
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|---|---|
| Authors: | Neuman, Eyal ; Schied, Alexander |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 2, p. 495-509
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| Subject: | Optimal portfolio liquidation | Market impact | Target zone models | Optimal stochastic control | Catalytic superprocess | Theorie | Theory | Portfolio-Management | Portfolio selection | Wechselkurspolitik | Exchange rate policy | Zielzone | Target zone | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-015-0280-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011471483