Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
Ulrich Horst, Evgueni Kivman
| Year of publication: |
2024
|
|---|---|
| Authors: | Horst, Ulrich ; Kivman, Evgueni |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 3, p. 759-812
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| Subject: | Portfolio liquidation | Singular BSDE | Singular control | Stochastic liquidity | Portfolio-Management | Portfolio selection | Theorie | Theory | Liquidität | Liquidity | Marktliquidität | Market liquidity | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-024-00536-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015130386