Optimal solution of the liquidation problem under execution and price impact risks
Francesca Mariani and Lorella Fatone
| Year of publication: |
2022
|
|---|---|
| Authors: | Mariani, Francesca ; Fatone, Lorella |
| Subject: | Execution risk | Hamilton-Jacobi-Bellman equation | Liquidation problem | Price impact risk | Stochastic optimal control | Risiko | Risk | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Betriebliche Liquidität | Corporate liquidity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2047219 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367883