Optimal trade execution under displaced diffusions dynamics across different risk criteria
Damiano Brigo; Giuseppe Di Graziano
| Year of publication: |
2014
|
|---|---|
| Authors: | Brigo, Damiano ; Di Graziano, Giuseppe |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 2, p. 1-17
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| Subject: | Optimal trade execution | algorithmic trading | displaced diffusion | HJB equation | calculus of variations | risk measures | value at risk | expected shortfall | squared-asset expectation | market impact | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Schätzung | Estimation | Wertpapierhandel | Securities trading | Risiko | Risk |